The intra‐day price discovery process between the Singapore Exchange and Taiwan Futures Exchange

Journal of Futures Markets - Tập 22 Số 3 - Trang 219-240 - 2002
Matthew Roope1, Ralf Zurbruegg2
1School of Banking and Finance, University of New South Wales, Australia
2School of Commerce, University of Adelaide, Australia.

Tóm tắt

AbstractThis paper focuses on the increasing competition between exchanges for listing similar index futures contracts and the impact this has on information dissemination between various markets. Specifically, using both the Hasbrouck and Gonzalo–Granger methodologies for extracting the information content held in each market, a comparison of information efficiencies between the Singapore Exchange and the Taiwan Futures Exchange is examined for Taiwan Index Futures listed in both markets. The results show not only a common stochastic trend between index futures and their underlying indices, but also provide strong evidence to suggest price discovery primarily originates from the Singapore futures market. There are direct implications of this result for both financial exchanges and traders—in particular, that traders realize price determination can arise from both futures markets, and the need for exchanges to maintain a reputation as an information center for these similarly traded financial instruments. © 2002 John Wiley & Sons, Inc. Jrl Fut Mark 22: 219–240, 2002

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Thông tin xuất bản

Journal of Futures Markets

Tập 22 Số 3

219-240

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