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This study explores whether frequent trading is profitable to investors in an emerging stock index futures market. Our analyses, based on long‐term data from 2010 to 2023, indicate that the effect of trading frequency differs across investor types and market conditions. Only some domestic institutions gain additional profits from more frequent trading, and such a tendency is apparent when the futures price falls and when the futures market volatility is low. Foreign investors experience losses as they trade more when the market is bearish and are frequently net long. The performance of domestic individuals does not depend on their trading frequency in general; however, they lose more from trading when the market is bearish and when the market is less volatile. [ABSTRACT FROM AUTHOR]

We examine the price discovery performance of China's crude oil futures traded on the Shanghai International Energy Exchange (INE) for the spot prices of 19 types of deliverable and nondeliverable Asian crude oil. We find evidence for the INE crude oil futures price discovery function even at the early stage for almost all the deliverable crudes and some nondeliverable crudes. Both the INE crude oil futures price and the spot price significantly contribute to the price discovery process, with substantially time‐varying informational roles. While the price discovery performance was severely damaged around the period of COVID‐19 pandemic shock intensification in China with the temporary cancellation of nighttime trading, it improved to some extent after China started the recovery from the shock. But such improvement deteriorated drastically and disappeared since early 2021. Further analysis reveals that both economic fundamentals (e.g., the warehouse inventory) and trading‐related characteristics of the futures market are significant determinants of the price discovery performance. The overall findings imply that the INE crude oil futures market has evolved into a useful and important information source in pricing Asian crudes, and is on the path to emerge as an Asian benchmark. [ABSTRACT FROM AUTHOR]

This study constructs an extended value-at-risk model that incorporates all microstructural liquidity components using a high-quality tick-by-tick index options market dataset. Out-of-sample backtesting and mean-difference analyses suggest that the traditional value-at-risk measure significantly underestimates investors' potential losses relative to our new liquidity-adjusted measure. Logistic regressions reveal that ex-ante market illiquidity increases violations of liquidity-adjusted value-at-risk and that these violations are often driven by foreign institutional investors. [ABSTRACT FROM AUTHOR]