کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
973585 | 1479866 | 2013 | 11 صفحه PDF | دانلود رایگان |
• Offshore cross-listed futures increase trading of onshore component stocks.
• Offshore cross-listed futures increase trading of the onshore futures contracts.
• Offshore futures cause an increase in trading of onshore futures, not vice-versa.
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.
Journal: Pacific-Basin Finance Journal - Volume 24, September 2013, Pages 301–311