The Effect of Extended Trading Tours on the Feedback Relationship between Cash and Futures Markets

On November 20, 1998, the Hong Kong Futures Exchange started opening its markets fifteen minutes earlier than the opening time and closes its markets fifteen minutes later than the closing time of the Hong Kong Stock Exchange. In this paper we utilize the Geweke feedback measures to examine the effect of extended trading hours of the Hong Kong index futures on the information flow between futures and cash markets. We find that extending the trading hours leads to a stronger information flow from the cash market to the futures market