Price discovery of index futures across markets

Author

Jerry X. CAO, Singapore Management UniversityFollow
Xiaoming WANG
Nelson YAP, Singapore Management UniversityFollow
Sili ZHOU, Singapore Management UniversityFollow

Publication Type

Working Paper

Version

publishedVersion

Publication Date

5-2016

Abstract

The trading of foreign index futures by the Singapore Exchange (SGX) offers an ideal opportunity to study price discovery and information of trading across different markets. We examine four popular indices - Nikkei 225 Index, MSCI Taiwan Index, CNX Nifty Index and the FTSE China A50 Index traded in SGX and compare them with their home market trading. In contrary to standard theory and evidence, we show that smaller bid-ask spread, lower minimum lots and cheaper transaction cost do not necessary improve information efficiency. These results may shed some light on the usefulness of the role of an international financial centre on the price discovery of foreign indices.

Discipline

Finance and Financial Management

Research Areas

Finance

Identifier

10.2139/ssrn.2840067

Publisher

SSRN

Citation

CAO, Jerry X.; WANG, Xiaoming; YAP, Nelson; and ZHOU, Sili. Price discovery of index futures across markets. (2016).
Available at: https://ink.library.smu.edu.sg/lkcsb_research/5222

Creative Commons License

This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.

Additional URL

https://doi.org/10.2139/ssrn.2840067