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

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Author Info

  • 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)

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    Abstract

    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.

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    Bibliographic Info

    Article provided by World Scientific Publishing Co. Pte. Ltd. in its journal Review of Pacific Basin Financial Markets and Policies.

    Volume (Year): 10 (2007)
    Issue (Month): 04 ()
    Pages: 561-583

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    Handle: RePEc:wsi:rpbfmp:v:10:y:2007:i:04:p:561-583

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    Related research

    Keywords: Taiwan equity index futures; cross-market linkages; mean reversion; trading simulation; information flow;

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