TY - JOUR
T1 - The relationship between satellite and home market volumes
T2 - evidence from cross-listed Singapore futures contracts
AU - Frino, Alex
AU - Harris, Frederick H de B
AU - Lepone, Andrew
AU - Wong, Jin Boon
PY - 2013/9
Y1 - 2013/9
N2 - 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.
AB - 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.
UR - http://www.scopus.com/inward/record.url?scp=84890187786&partnerID=8YFLogxK
U2 - 10.1016/j.pacfin.2013.04.003
DO - 10.1016/j.pacfin.2013.04.003
M3 - Article
AN - SCOPUS:84890187786
SN - 0927-538X
VL - 24
SP - 301
EP - 311
JO - Pacific-Basin Finance Journal
JF - Pacific-Basin Finance Journal
ER -