効果的な取引時間延長の検証

抄録

We examine whether extension of trading hours can create incr eased trading activity and price efficiency by utilizing an agent agent-based market model. Specifically, we examine whether the partial extension of trading hours hours?that is, implementing the pre pre-market session and the after after-hours sessionsession?and what duration of the session is effective. The simulation result reveals that the implementation of both sessions could have a negative impact on trading activity and price efficiency if investors' participation during the session is limited; it could result in more concentrat ed trading in the opening session, wider divergence between market prices and the fundamental value, and lower price stability. In addition, longer sessions are less beneficial (or more harmful). However, we find that the implementation of the pre pre-market s ession is far more beneficial than that of the after after-hours session; specifically, the implementation of the short short-term pre pre-market session could induce higher price efficiency and higher price stability regardless of the number of market participants during the session.