China 's Stock Index Futures In The Stock Market Before The Opening And Closing 15 Minutes After The Transaction Time Difference In The Ability To Find The Price

This article examines whether price discovery effect exists during preopening and post-close periods。Based on former researches, we use WPC and find that trading in pre-open periods are more informative than both last 15 minutes periods and trades per 15 minutes during the day. This suggests that information-driven traders are more active in the preopening periods. Based on our hypothesizes, we run GARCH(1,1) model and the results show that private information in preopening periods and post-close periods can explain overnight stock market returns to some extent. Besides, private information in preopening period also has a positive relationship with intraday stock market returns and when market opens, private information of post-close periods is quickly tapers off compared with preopening periods. This indicates that preopening periods have a longer and stronger explanation of spot returns than post-close periods. Finally, after considered the holiday effect and the robustness of our research, the results are also established.