What drives the off-shore futures market? Evidence from India and China

S.S.S. Kumar and Aravind Sampath

Finance Research Letters, 2019, vol. 30, issue C, 394-402

Abstract: We investigate price determinants of offshore listed derivatives of Chinese and Indian indices when the underlying is closed for trading. Using intraday data from Singapore Exchange listed index futures, we split a trading day into pre-market hours, market hours and post-market hours. In pre-market hours, USD exchange rate explains SGX futures. During market hours, the cost of carry model drives SGX futures. Post the market hours, we find that the US market explains SGX futures prices. Our findings are consistent for both India and China, suggesting that price formation in offshore listed derivatives is not speculative, rather driven by fundamentals.

Keywords: Offshore derivatives; Non-trading hours; SGX futures; Spot indices (search for similar items in EconPapers)
JEL-codes: C22 G14 G15 (search for similar items in EconPapers)
Date: 2019
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:30:y:2019:i:c:p:394-402

DOI: 10.1016/j.frl.2018.11.001

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