Publication Type

Journal Article

Version

acceptedVersion

Publication Date

10-2004

Abstract

The Singapore Exchange (SGX), a small satellite market, successfully competes with a large home market, the Osaka Securities Exchange (OSE), in trading the Nikkei 225 futures index. In this paper, we investigate the contribution of the SGX to price discovery and shed light on the reasons for its continued success. Evidence is provided from information revelation and price discovery of three competing but informationally linked markets of the Nikkei 225 index - domestic spot (Tokyo Stock Exchange), domestic futures (OSE), and foreign futures (SGX), which represents the satellite market. Overall, the futures market contributes 77% to price discovery, with the satellite market contributing 42% of the futures and 33% of the total price discovery. These figures, surprisingly, far exceed the satellite market's share of trading volume. Support is provided for the extended trading hours on the SGX for three of the four non-overlapping trading sub-periods.

Keywords

Lead-lag relationship, stock index, futures, volatility, security, dynamics, Singapore Exchange, Tokyo Stock Exchange

Discipline

Asian Studies | Business | Finance and Financial Management | Portfolio and Security Analysis

Research Areas

Finance

Publication

Journal of Futures Markets

Volume

24

Issue

10

First Page

981

Last Page

1004

ISSN

0270-7314

Identifier

10.1002/fut.20118

Publisher

Wiley

Copyright Owner and License

Authors

Additional URL

https://doi.org/10.1002/fut.20118

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