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

Author

Listed:
  • 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)

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.

Suggested Citation

  • Hung-Gay Fung & Qingfeng Wilson Liu & Gyoungsin Daniel Park, 2007. "Cross-Market Linkages of Taiwan Index Futures Contracts Listed on the Taiwan Futures Exchange and the Singapore Exchange," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 10(04), pages 561-583.
    • Handle: RePEc:wsi:rpbfmp:v:10:y:2007:i:04:n:s0219091507001203
    DOI: 10.1142/S0219091507001203
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    Citations

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    Cited by:

    1. Chaiyuth Padungsaksawasdi & Ali Parhizgari, 2017. "Major Currency ETFs and Their Associated Spot and Futures Rates," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 20(04), pages 1-32, December.

    More about this item

    Keywords

    Taiwan equity index futures; cross-market linkages; mean reversion; trading simulation; information flow;
    All these keywords.

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • G2 - Financial Economics - - Financial Institutions and Services
    • G3 - Financial Economics - - Corporate Finance and Governance

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