Research On The Effect Of Night Trading On The Market Of Precious Metal Futures

With the rapid development of China's economy,the futures market has shown a booming trend and has become an important investment channel.However,the pricing power of most bulk commodities is in the hands of developed countries such as Europe and the United States.This is mainly due to the short transaction time in China's futures market,international major futures exchanges have basically realized all-day trading.In this context,on July 5,2013,in order to promote the development of China's futures market,China launched the night trading of precious metal futures,including gold and silver.Studying the influence of night trading on the precious metal futures market will not only help investors optimize investment,but also provide reference for other futures varieties and further improve China's futures market.This paper will analyze the impact of night trading on the precious metal futures market in the aspects of liquidity,volatility and linkage.The study period is from July 5,2012 to July 3,2015,which is divided into short-term effects and long-term effects.Liquidity is measured using a kind of modified liquidity ratio,compares the futures market liquidity before and after the launch of the night trading by calculating the liquidity index;Volatility is measured using the EGARCH model with dummy variables,decomposes the normal daily rate of return into the overnight rate of return and the daily rate of return,and examines the effect of night trading on the volatility of the night and the volatility of the day;The linkage is measured using the VAR-BEKK-GARCH model,the VAR model is built to study income spillovers at the level of mean,and the BEKK-GARCH model is built to study volatility spillovers at the level of variance.The results are as follows: First,the night trading significantly increased the liquidity of the precious metal futures market,and the long-term effect slightly weakened.Second,the night trading significantly reduced the volatility of the precious metal futures market,and mainly reduced the volatility of the overnight yield.The volatility of the daily yield has not been significantly reduced.Third,the night trading has generally enhanced the linkage between foreign and domestic futures markets,weakened the spillover effect of foreign futures on domestic futures,and enhanced the spillover effect of China's futures on foreign futures.The night trading enhanced the international influence of the China's futures market.Finally,according to the research results,several suggestions are made for the development of China's futures market.