Cross-Market Linkages of Taiwan Index Futures Contracts Listed on the Taiwan Futures Exchange and the Singapore Exchange

Hung-Gay Fung (), Qingfeng "Wilson" Liu () and Gyoungsin "Daniel" Park ()
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Hung-Gay Fung: College of Business Administration &, Center for International Studies, University of Missouri-St. Louis, 8001 Natural Bridge Road, St. Louis, MO 63121, USA
Qingfeng "Wilson" Liu: Department of Finance and Business Law, James Madison University, MSC 0203, Harrisonburg, VA 22807, USA
Gyoungsin "Daniel" Park: School of Business & Management, Azusa Pacific University, Azusa, CA 91702, USA

Review of Pacific Basin Financial Markets and Policies (RPBFMP), 2007, vol. 10, issue 04, 561-583

Abstract: Cointegration tests andex antetrading 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.

Keywords: Taiwan equity index futures; cross-market linkages; mean reversion; trading simulation; information flow (search for similar items in EconPapers)
JEL-codes: G1 G2 G3 (search for similar items in EconPapers)
Date: 2007
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Citations: View citations in EconPapers (1)

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DOI: 10.1142/S0219091507001203

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