Asian cash and futures markets price formation: price leadership between index futures and exchange traded funds

Sy, M 2014, 'Asian cash and futures markets price formation: price leadership between index futures and exchange traded funds', in G. Constantinides and P. Theodossiou (ed.) Proceedings of the 21st Conference of the Multinational Finance Society, Prague, Czech Republic, 29 June - 2 July 2014, pp. 1-33.


Document type: Conference Paper
Collection: Conference Papers

Title Asian cash and futures markets price formation: price leadership between index futures and exchange traded funds
Author(s) Sy, M
Year 2014
Conference name 21st Conference of the Multinational Finance Society
Conference location Prague, Czech Republic
Conference dates 29 June - 2 July 2014
Proceedings title Proceedings of the 21st Conference of the Multinational Finance Society
Editor(s) G. Constantinides and P. Theodossiou
Publisher Multinational Finance Society
Place of publication United States
Start page 1
End page 33
Total pages 33
Abstract In this research, two financial products, Exchange Traded Funds (ETFs) and Index Futures from six Asian countries (Japan, Korea, China, Singapore, Hong Kong and Taiwan) are used to analyse the process of price discovery in Asian spot and futures markets. From the high frequency observations for both the ETFs and Futures, a linear vector error correction model is applied for our estimation and the quantification of each market contribution to the process of price discovery is obtained through the common factor weights methodology first introduced by Schwarz and Szakmary (1994). We found that index futures still dominate in the process of price leadership in Asian markets. Moreover, volatility is identified as being the driving force behind the futures markets price leadership.
Subjects Investment and Risk Management
Copyright notice © Multinational Finance Society 2014
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