A Study On The Cross - Market Impact Of Overnight Information

Since the beginning of twenty-first Century, with the rapid economic development in China and the accelerated process of globalization, Chinese financial markets and the world’s financial markets are more closely linked. The two markets have a consistent response to market information. With the continuous deepening of China’s economic reform and the financial market continues to open, Chinese financial market increasingly large scale, the variety of financial products is more and more abundant. Market information will all quickly and effectively spread in the market. But the response to the same market information is different in in different markets. Then the fluctuation of securities’ price is varity.Because of the stock market and the stock index futures market participants have different microstructure and different transaction costs, the two markets have different responses to market information. This paper analyzed the returns of stock market during trading periods and non-trading periods, and compared with the stock index futures market. The research shows that:the information transmission efficiency of the stock index futures market is more than stock market’s. And the overnight information affects the stock market’s trading returns for a long time than the stock index futures market’s trading returns.