ارتباط ماهواره ای بین ماهواره ها و حجم بازار خانگی : شواهدی فهرست شده از میان قراردادهای سنگاپور

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.

This paper investigates the turnover relationship between domestic and foreign trading of simultaneously traded futures contracts. Since the introduction of the Value Line Composite, the first stock index futures on 24 February, 1982, the creation and trading of index futures has become commonplace in modern financial markets. While most index futures contracts are based domestically (i.e., on indices containing shares from only that country, with a contract multiplier in the same currency as the underlying shares, and traded in that country), some contracts have an international dimension and are cross-listed on both on-shore and off-shore markets with simultaneous trading hours. One of the first cross-listed derivatives to be traded simultaneously is the Nikkei 225 Index futures. This index futures was first launched on the Singapore Exchange derivatives market on 3 September, 1986, and subsequently introduced on the OSE on 3 September, 1988.1 Since then, other dual-listed index futures that have concurrent trading hours, like the Morgan-Stanley Capital International Taiwan Index Futures (MSCI-TW) and CNX Nifty (India) Index Futures have been established (see Board and Sutcliffe, 1996), and the examination of these derivatives captures the interest of many practitioners, regulators, and academics.

Results in Table 3 provide insights into the relationship between the turnover of SGX-Nikkei and OSE-Nikkei. Estimators of the first stage are examined to determine the choice of exogenous variables to use as instruments to predict the simultaneously determined variables in Eq. (1). As the choice of instruments determines the goodness of fit of the predicted endogenous variables, the relevance of the chosen variables is determined. To estimate the futures–futures relationship between SGX-Nikkei and OSE-Nikkei, the exogenous variable used is the average daily BAS7 of OSE-Nikkei as it represents part of the cost of trading OSE-Nikkei. Results in Table 3 demonstrate that a negative and significant relationship exists between OSE-Nikkei and the BAS. This suggests that whenever the cost of trading (BAS) declines, the turnover of OSE-Nikkei increases. In the systems estimation of Eq. (1) using FIML, a positive and statistically significant relationship between the dependent variable