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Full-Text Articles in Finance and Financial Management
The Microstructure Behavior Of Sgx Nikkei 225 Index Futures Resulting From Component Changes Of The Underlying Cash Market Index, Charlie Charoenwong, David K. Ding, Vasan Siraprapasiri
The Microstructure Behavior Of Sgx Nikkei 225 Index Futures Resulting From Component Changes Of The Underlying Cash Market Index, Charlie Charoenwong, David K. Ding, Vasan Siraprapasiri
Research Collection Lee Kong Chian School Of Business
We study the effect of changes involving component stocks of the Nikkei 225 stock index on the behavior of the Nikkei 225 index futures. Specifically, we examine the effects of component changes of the Nikkei 225 on the volume, returns, volatility, and bid-ask spreads (BAS) on its corresponding futures contract traded on the Singapore Exchange (SGX). We find that trading volume increases and the bid-ask spread decreases but there is no significant change in the returns of the SGX Nikkei 225 index futures after a component change takes place. This does not support the Price Pressure Hypothesis, which states that …
The Contribution Of A Satellite Market To Price Discovery: Evidence From The Singapore Exchange, Vicentiu Covrig, David K. Ding, Buen Sin Low
The Contribution Of A Satellite Market To Price Discovery: Evidence From The Singapore Exchange, Vicentiu Covrig, David K. Ding, Buen Sin Low
Research Collection Lee Kong Chian School Of Business
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 …