Non-synchronous Trading,Information Transmission and Market Efficiency:Evidence from Futures and Spot Markets of Emerging Market
研究了沪深300指数期货的延长交易与现货市场非同步交易下的信息结构、传递机制及对市场效率的影响，发现延长交易增强了价格发现和信息效率，且延长交易区间的私有信息对现货市场不同区间收益有显著影响。
Non-synchronous Trading affects the information transmission between different markets,and then occurs impact on market efficiency.However,the existing literature is inconclusive.Based on the relationship between the extended trading of CSI300 index futures market and the trading of spot market,we analyze the information structure,information transmission mechanism and the influence on the market efficiency under the non-synchronous trading of the futures and spot market.We find that the extended trading has stronger power on price discovery and information efficiency,and that the private information included in the extended trading interval has significant effect on return in different intervals of spot market and the effect weakens through time in the full sample.Both of these demonstrate that non-synchronous Trading has positive effect on the improvement of market efficiency.