 The relationship between satellite and home market volumes: Evidence from cross-listed Singapore futures contractsAlex Frino, Frederick H.deB. Harris, Andrew Lepone () and Jin Boon Wong Pacific-Basin Finance Journal, 2013, vol. 24, issue C, 301-311 Abstract: This paper examines the order flow diversion hypothesis using cross-listed Singapore Exchange (SGX) futures contracts to test if the existence of an off-shore market causes the order migration of futures volume from the domestic to foreign markets. Using structural equation systems estimation based on daily turnover, we observe that a 10% increase in the turnover of the SGX traded Nikkei 225 leads to an increase of 6.6% for the Nikkei 225 traded on the OSE. Further examination of the cross-listed Nifty and the MSCI-Taiwan Index futures provide similar evidence of a positive and significant relationship. We also observe that off-shore index futures have a positive and significant impact on domestic component stocks' turnover. Evidence in this study supports the rejection of the order-flow hypothesis, and suggests that a mutually beneficial relationship exists between cross-border exchanges. Keywords: Cross-listing; Arbitrage trading; Trading activity (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:pacfin:v:24:y:2013:i:c:p:301-311 DOI: 10.1016/j.pacfin.2013.04.003 Access Statistics for this article Pacific-Basin Finance Journal is currently edited by K. Chan and S. Ghon Rhee More articles in Pacific-Basin Finance Journal from Elsevier |
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