Extended Trading Hours Research Articles

Can night trading reduce price volatility? Evidence from China's corn and corn starch futures markets

AbstractSince 2013, China's futures exchanges have implemented night trading for agricultural futures to reduce the overnight risk and price jump of futures products by extending trading hours. This study uses difference‐in‐differences (DID) to examine the impacts of night trading on daytime price volatility in corn and corn starch futures markets. On the basis of tick‐by‐tick data for these futures, we find that night trading has significantly reduced daytime volatility and contributed to price volatility stability in the corresponding futures market. Moreover, we make DID estimations for separate daytime sessions and find that the reduction of the daytime volatility takes place mainly during the first trading session. Robustness and placebo tests further support our main conclusions. Our results provide valuable guidance for futures exchanges and regulators seeking to formulate night trading policies for futures and options.

The Launch of a Night Trading Session and Currency Futures Market Liquidity: Evidence from the Thailand Futures Exchange

The Thailand Futures Exchange launched USD Futures as the first currency futures contract on 5 June 2012. However, it has been available for night trading since 27 September 2021. This research aims to analyze the effect of adding a night trading session on USD Futures market liquidity and to make a liquidity comparison between day and night session trading. By adding a dummy variable into the vector autoregression model of order 5 to capture the effect of a night session introduction on market liquidity, the results show that market depth and breadth are even stronger after a longer trading session. In addition, the t-test results show the presence of lower tightness but stronger depth and breadth in day session trading than in night session trading, because of the availability of a large number of orders and the ability of the market to have smoother trading in day as opposed to night. Due to the positive effect of extended trading hours on market depth and breadth, TFEX should consider a longer night session in line with other global futures markets. Night traders should also be aware of liquidity risk due to low night session trading volume.

Consumers choice of small independent specialty stores in shopping centers during weekday extended trading hours: A qualitative study

This study explored the behavioral dynamics that is responsible for the success of the small independent specialty retailers in a shopping center during weekday extended trading hours. Drawing on literature from different areas, consumers’ shopping experiences, browsing patterns and factors influencing browsing activities in small independent specialty stores in a shopping center during weekday extended trading hours was investigated. The study was carried out in Brisbane, Australia. Two focus groups with consumers and a personal interview with an expert was performed. This research found consumers were usually goal oriented during weekday late evening trading hours and they would usually engage in browsing in-stores only when they require customer assistance. This research was also able to understand and establish the behavioural dynamics that can determine the performance of the small independent specialty stores during extended trading hours. Overall, this research suggests that the small independent specialty stores are unlikely to experience an increase in sales or attract more customers by extending the trading hours. This study makes an important step in understanding consumers demand for small independent specialty stores in categorized shopping centers during the extended trading hours. The conceptualization and findings of this research contribute to two areas of research: consumer spatial behavior and consumer information search in small independent specialty stores in a shopping center during weekday extended trading hours.

The path to a sustainable palm oil futures market

This study analyzes the information flow between the palm oil, soybean oil, and crude oil futures markets and proposes ways to develop the vegetable oil market, especially the palm oil futures market. In contrast to the results of a Granger causality test, we provide strong evidence that interactive cause–effect relationships exist between each pair of the three oil futures markets. Yet, the emergence of the net information flow depends on the trading volume and liquidity (i) from the crude oil futures to the two vegetable oil futures markets and (ii) from the soybean oil futures to the palm oil futures market. Our findings support the fact that the palm oil futures market is still subject to tight investment constraints and, therefore, fails to play a leading role in information discovery regarding the crude oil and soybean oil futures markets. This suggests that policymakers could pursue a series of initiatives, such as introducing US dollar-based trading and extending trading hours, to further develop the palm oil futures market and reduce market friction.

High-frequency tweeting and market making after hours

This paper analyzes differences between the regular and extended trading sessions in the high-frequency reaction of equity markets to potential news. Using presidential tweets as market-stirring events, I find that generally volatility increases and liquidity deteriorates within less than a second after a tweet. Compared to the regular trading session, the reduction in market quality is stronger and faster during the extended trading hours, when liquidity is lower and designated market maker participation is optional.

Evaluation of an alcohol policy measure employing a randomised controlled trial design: Why was it possible?

Some of the best evidence of effects of control policies on alcohol availability stems from controlled experimental studies in the Nordic state-owned alcohol monopolies. Publications from these studies do not, however, explain the process leading up to the implementation of changes in policy measures under controlled experimental conditions. In September 2020, the Norwegian state alcohol monopoly started the implementation of extended trading hours, employing a randomised controlled trial design. In this commentary, we give an account of the process leading up to this implementation and how the monopoly considered various pro- and contra-arguments in this regard. This case illustrates that willingness to contribute to strengthened scientific evidence on alcohol control policies can be embedded in the social responsibility of a state alcohol monopoly.

Effects of Extensions and Restrictions in Alcohol Trading Hours on the Incidence of Assault and Unintentional Injury: Systematic Review

We undertook a systematic review to assess the effects of extensions and restrictions in trading hours of on- and off-license alcohol outlets. We included new primary studies that help address limitations in previous reviews. We systematically searched electronic databases and reference lists, up to December 2018, and contacted the authors of eligible studies. Studies were eligible if (a) the design was randomized, or nonrandomized with at least one control site/series; (b) the intervention evaluated extensions or restrictions in trading hours at on- or off-license premises; and (c) the outcome measures were assault, unintentional injury, traffic crash, drink-driving offenses, or hospitalization. Two reviewers independently extracted data using a standard form that included study quality indicators. After screening 3,857 records, we selected 22 studies for the systematic review, all of which used an interrupted time series design. In the included studies, extension of trading hours concerned on-license premises only, whereas restriction concerned both on- and off-license premises. Extending trading hours at on-license premises was typically followed by increases in the incidence of assault, unintentional injury, or drink-driving offenses. Conversely, restricting trading hours at on- and off-license premises was typically followed by decreases in the incidence of assault and hospitalization. On balance, this review augments existing evidence that harm typically increases after extensions in on-license alcohol trading hours. It provides new evidence that alcohol-related harm decreases when on- and off-license trading hours are restricted.

Trading hours extension and intraday price behavior

Although studies argue that periodic market closure induces the well-known intraday price overreaction, namely, a negative association between intraday returns and overnight returns, no study examines how the overreaction phenomenon is affected by extending trading hours. This study empirically examines it by investigating two Japanese stock futures whose trading hours have been continuously and asynchronously extended. Surprisingly, the overreaction is stronger when the extended-hours session is longer, and trading activity during the session is higher. The result indicates that the extension can worsen the overreaction phenomenon, highlighting the existence of the negative impact of trading hours extension on price efficiency.

Effective extension of trading hours

To uncover the complex feature of the effect of extending trading hours, I analyze what kind of the extension is effective on price efficiency and price stability, by utilizing an agent-based market model. Specifically, I examine whether the partial extension of trading hours—namely implementing the pre-market session and the after-hours session—and what duration of the session is effective. The simulation result reveals that the implementation of both sessions could have a negative impact on price efficiency and stability if investors’ participation during the session is limited; it could result in more concentrated trading in the opening session, wider divergence between market prices and the fundamental value, and lower price stability. In addition, longer sessions are less beneficial (or more harmful). My result also shows that there are very few benefits to trade during the extended-hours sessions. Thus, my findings suggest that the extended-hours trading has a structural weakness which causes illiquidity during the session and lowers price efficiency and price stability during the regular-hour session. However, I find that the implementation of the pre-market session is far more beneficial than that of the after-hours session; exceptionally, the implementation of the short-term pre-market session could induce higher price efficiency and higher price stability regardless of the number of market participants during the session.

Impacts of licensed premises trading hour policies on alcohol-related harms.

Background and aimEvaluations of alcohol policy changes demonstrate that restriction of trading hours of both ‘on’‐ and ‘off’‐licence venues can be an effective means of reducing rates of alcohol‐related harm. Despite this, the effects of different trading hour policy options over time, accounting for different contexts and demographic characteristics, and the common co‐occurrence of other harm reduction strategies in trading hour policy initiatives, are difficult to estimate. The aim of this study was to use dynamic simulation modelling to compare estimated impacts over time of a range of trading hour policy options on various indicators of acute alcohol‐related harm.MethodsAn agent‐based model of alcohol consumption in New South Wales, Australia was developed using existing research evidence, analysis of available data and a structured approach to incorporating expert opinion. Five policy scenarios were simulated, including restrictions to trading hours of on‐licence venues and extensions to trading hours of bottle shops. The impact of the scenarios on four measures of alcohol‐related harm were considered: total acute harms, alcohol‐related violence, emergency department (ED) presentations and hospitalizations.ResultsSimulation of a 3 a.m. (rather than 5 a.m.) closing time resulted in an estimated 12.3 ± 2.4% reduction in total acute alcohol‐related harms, a 7.9 ± 0.8% reduction in violence, an 11.9 ± 2.1% reduction in ED presentations and a 9.5 ± 1.8% reduction in hospitalizations. Further reductions were achieved simulating a 1 a.m. closing time, including a 17.5 ± 1.1% reduction in alcohol‐related violence. Simulated extensions to bottle shop trading hours resulted in increases in rates of all four measures of harm, although most of the effects came from increasing operating hours from 10 p.m. to 11 p.m.ConclusionsAn agent‐based simulation model suggests that restricting trading hours of licensed venues reduces rates of alcohol‐related harm and extending trading hours of bottle shops increases rates of alcohol‐related harm. The model can estimate the effects of a range of policy options.

Is Extended-Hours Trading Indicative of Subsequent Returns?

Trading outside the main session occurs between 4:00 p.m. and 8:00 p.m. and between 4:00 a.m. and 9:30 a.m. It is typically dominated by institutional investors. This study examines whether trading in the extended hours is predictive of future returns. The article shows that when significant new earnings information is released during the extended-hours sessions, the extended-hours returns are positively and significantly associated with the following main session returns and even with long-term drift returns. The signal based on the extended-hours return is incrementally beneficial in predicting the future returns beyond the earnings surprise signal. The evidence is consistent with an underreaction to information on earnings news days and suggests that the return reaction during extended trading hours can help predict the return drift after earnings disclosure.

Trading Hours and Price Efficiency: The Case of Hong Kong

This paper studies the impact of trading-hour adjustment in Hong Kong Stock market and how this change affects the price efficiency in Hong Kong stock market. We find that the extended trading hours in Hong Kong results in a significantly negative cumulative abnormal return. Also, both the stock price synchronicity and the price delay decrease significantly, which represents the improvement of the price efficiency.

Effective Trading Hours Extension

To uncover the complex feature of the effect of extending trading hours, we analyze what kind of the extension is effective on price efficiency and price stability, by utilizing an agent-based market model. Specifically, we examine whether the partial extension of trading hours—namely, implementing the pre-market session and the after-hours session—and what duration of the session is effective. The simulation result reveals that the implementation of both sessions could have a negative impact on price efficiency and stability if investors’ participation during the session is limited; it could result in more concentrated trading in the opening session, wider divergence between market prices and the fundamental value, and lower price stability. In addition, longer sessions are less beneficial (or more harmful). However, we find that the implementation of the pre-market session is far more beneficial than that of the after-hours session; specifically, the implementation of the short-term pre-market session could induce higher price efficiency and higher price stability regardless of the number of market participants during the session.

Is the Extension of Trading Hours Always Beneficial? An Artificial Agent-Based Analysis

The extension of trading hours to provide more trading opportunities and improve price efficiency has increasingly been discussed. However, currently, stock market trading activity during the extended-hours session is quite limited. Thus, we should examine whether the extension of trading hours is effective in creating more trading opportunities and increasing price efficiency even if there are only a few market participants during the extended session. For this study, we build an agent-based market model and analyze the effect of extending trading hours. We find that although the extension of trading hours could increase daily trading volume, price formation and trading activity could be distorted if the number of market participants during the extended-hours session is limited. Specifically, the extension could result in more concentrated trading at the open of the regular trading session, greater divergence between market prices and the fundamental value of assets, as well as higher return volatility (especially at the open).

Are Extended Hours Prices Predictive of Subsequent Stock Returns?

Trading outside the main session occurs between 4:00PM-8:00PM and 4:00AM-9:30AM and is typically dominated by institutional investors, as retail investors are discouraged to trade in the extended trading hours. This study examines whether trading in the extended hours is predictive of future returns. It shows that on regular trading days, extended hours returns are negatively associated with returns in the Main trading session (9:30AM-4:00PM), consistent with extended hours trading that is induced by liquidity needs rather than information. In contrast, when significant new information is released during the extended hours sessions such as earnings, analyst recommendation changes, and SEC filings, the extended hours returns are positively and significantly associated with the following Main session returns, and even with long-term drift returns. The evidence is consistent with an under-reaction to information on news days, and suggests that the return reaction during extended trading hours can help predict the return drift after news events.

The effect of alcohol outlets, sales and trading hours on alcohol-related injuries presenting at emergency departments in Perth, Australia, from 2002 to 2010.

Few studies have investigated the combined effects of alcohol sales, outlet numbers and trading hours on alcohol-related harms. This study aimed to test whether associations: (i) exist between alcohol-related emergency department (ED) injuries and alcohol sales and counts of outlets; (ii) vary between on- and off-premises outlets; and (iii) vary by trading hours conditions [extended trading permits (ETP) versus standard hours]. Panel study using 117 postcodes over 8 years (2002-10): 936 data points. Perth, Australia. ED injury presentations, aggregated to postcode-level. Alcohol-related injuries were identified using time-based surrogate measures: night injuries (n=51,241) and weekend night injuries (n=30,682). Measures of alcohol availability included number of outlets with standard and extended trading hours and mean sales per postcode. Negative binomial regression modelling with random effects was used to examine associations between availability and alcohol-related injury, controlling for socio-demographic characteristics. (i) Night injuries were associated significantly with counts of on-premises outlets [incident rate ratio (IRR)=1.046; 95% confidence interval (CI)=1.014-1.078] and sales per off-premises outlet (IRR=1.019; 95% CI=1.004-1.035); (ii) counts of on-premises outlets were positively associated with alcohol-related injury while counts of off-premises outlets indicated a negative association; and (iii) weekend night injuries increased by about 5% per on-premises outlet with an ETP (IRR=1.049; 95% CI=1.015-1.084) and by less than 1% for outlets with standard trading hours (IRR=1.008; 95% CI=1.004-1.013). Regions of Perth, Australia with greater off-premises alcohol sales and counts of on-premises alcohol outlets, particularly those with extended trading hours, appear to have higher levels of alcohol-related injuries.

Is the Extension of Trading Hours Always Beneficial? An Artificial Agent-Based Analysis

The extension of trading hours to provide more trading opportunities and improve price efficiency has increasingly been discussed. However, currently, there is limited trading activity during the stock market’s extended-hours trading session. Thus, we should examine whether the extension of trading hours is still effective for creating more trading opportunity and price efficiency even if there are few market participants during the extended session. For this study, we build an agent-based market model based on that of Brock and Hommes (1998) and analyze the effect of extending trading hours. We find that although extending trading hours could increase daily trading volume, it could distort price formation and trade opportunity if market participants are limited during the extended-hours session. Specifically, the extension could result in more concentrated trading in the opening session, wider divergence between market prices and the fundamental value of stocks, and higher return volatility (especially at the open).

Do flexible alcohol trading hours reduce violence? A theory-based natural experiment in alcohol policy

Alcohol-related violence is a pressing public health concern. In 2005, the government of England and Wales took a controversial approach to preventing violence by removing restrictions on opening hours for alcohol outlets, thus increasing the availability of alcohol. The policy aimed to remove fixed closing times, which it claimed was contributing to urban violence occurring at peak closing times. It proposed to reduce violence and disorder by installing systems of ‘staggered closing times’. This policy was criticised for overlooking established public health principles prioritising the control of alcohol availability in the prevention of alcohol-related harm. In this study, we treated the removal of trading hour restrictions as a natural experiment to test competing theoretical principles about the relationship between alcohol availability and violence. Our study took place in the City of Manchester over a four-year period 2004–2008. Detailed trading records for over 600 alcohol outlets were obtained, as were police records for all violent incidents. We found considerable variation in the implementation of extended trading hours across the city, which affected area-level exposure of changes in alcohol availability and staggered closing times. To isolate the effect of these changes on violence, we performed a dose–response analysis to examine whether improved staggering of closing hours (or increased alcohol availability) was associated with decreases in violence. We found no evidence to support the government-proposed hypothesis that staggered closing reduces violence. We also found no support for the alternative hypothesis; that increase alcohol availability would result in increased violence. This study provides an example of how better evidence can be generated from natural experiments by placing added emphasis on theory, causal mechanisms and implementation science.

Alcohol: is the evidence base guiding public policy?

Alcohol: is the evidence base guiding public policy?

Information Content of CSI 300 Index Futures during Extended Trading Hours: Evidence from China

China established its stock futures exchange in year 2006, but not until year 2010 did the first futures contract become publicly available for trading. The tight government as well as the composition of market participants raises the question that whether this futures market is informationally efficient. We study the information incorporation of the futures market during the extended trading hours beyond those of the underlying spot market. Our analyses show that, first, spot market is the main information source of the futures market. In addition, using a T-GARCH model, we show that the post-closing, overnight and pre-opening returns are significantly correlated with the overnight spot market return. Second, the return innovations of the futures market significantly correlate with the overnight spot market return, indicating a price discovery role of the futures market. Finally, the futures market during the extended hours reflects the overnight news in the U.S. market.