English, Article edition: Cross-Market Linkages of Taiwan Index Futures Contracts Listed on the Taiwan Futures Exchange and the Singapore Exchange Hung-Gay Fung; Qingfeng "Wilson" Liu; Gyoungsin "Daniel" Park

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Physical Description
  • article
Language
  • English

Edition details

Title
  • Cross-Market Linkages of Taiwan Index Futures Contracts Listed on the Taiwan Futures Exchange and the Singapore Exchange
Author
  • Hung-Gay Fung
  • Qingfeng "Wilson" Liu
  • Gyoungsin "Daniel" Park
Physical Description
  • article
Notes
  • Cointegration tests and ex ante trading rules are applied to study cross-market linkages between the Taiwan Index futures contracts listed on the Singapore Exchange and the Taiwan Stock Exchange Capitalization-weighted Stock Index futures contracts listed on the Taiwan Futures Exchange. The exchange rate-adjusted returns of the two futures series do not differ significantly in mean but in variances, and show significant mean-reverting tendencies between them. Our trading strategies are able to generate statistically significant, if economically insignificant, profits, while our Granger causality tests demonstrate that information flows primarily from the Singapore market to the Taiwan market, a result confirming other research.
  • Taiwan equity index futures, cross-market linkages, mean reversion, trading simulation, information flow
  • RePEc:wsi:rpbfmp:v:10:y:2007:i:04:p:561-583
Language
  • English
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