| Title: |
Cross-session price incorporation around Taiwan’s after-hours trading introduction: evidence from U.S. and Taiwan index futures. |
| Authors: |
Lin, Peter Chinhsing1 (AUTHOR) peterlin2008@gmail.com; ChiangLin, Chieh Yow1 (AUTHOR) |
| Source: |
Applied Economics Letters. May2026, p1-5. 5p. |
| Subject Terms: |
*Stock index futures; *Financial futures; *Price level changes |
| Geographic Terms: |
Taiwan; United States |
| Abstract: |
We examine how U.S. trading-session returns are incorporated into Taiwan index futures prices under time-zone mismatch. Using daily TAIEX futures (TX), E-mini S&P 500 futures (ES), and E-mini Nasdaq 100 futures (NQ) from 2011–2025, we decompose returns into close-to-close, close-to-open, and open-to-close components and construct a 3 × 3 session map. Robustness checks use global controls, VARX specifications, HAC inference, and regime analyses. The main decomposed session channel runs from the previous U.S. daytime return to Taiwan’s subsequent close-to-next-open interval, whereas Taiwan’s daytime OC return responds weakly to prior U.S. information. After Taiwan introduced night-session trading in 2017, price incorporation occurs mainly during after-hours price formation rather than in the true non-trading gap. The findings show that U.S.–Taiwan futures spillovers are not merely cross-market correlations, but timing-specific price-incorporation channels that are relevant for interpreting after-hours trading and overnight risk exposure. [ABSTRACT FROM AUTHOR] |
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| Database: |
Business Source Premier |