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

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Hung-Gay Fung; Qingfeng "Wilson" Liu; Gyoungsin "Daniel" Park;
(2007)
  • Journal: Review of Pacific Basin Financial Markets and Policies, volume 10, issue 4, pages 561-583
  • Subject: Taiwan equity index futures, cross-market linkages, mean reversion, trading simulation, information flow
    • jel: jel:G1 | jel:G2 | jel:G3

Cointegration tests and ex ante trading 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 ... View more
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