The Contribution of a Satellite Market to Price Discovery: Evidence from the Singapore Exchange

• Main Authors: Covrig, Vicentiu, DING, David K., LOW, Buen Sin
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2004
• Subjects: Lead-lag relationship; stock index; futures; volatility; security; dynamics; Singapore Exchange; Tokyo Stock Exchange; Asian Studies; Business; Finance and Financial Management; Portfolio and Security Analysis
• Online Access: https://ink.library.smu.edu.sg/lkcsb_research/1157; https://ink.library.smu.edu.sg/context/lkcsb_research/article/2156/viewcontent/Satellite_Market_2004_av.pdf
• Institution: Singapore Management University

The Singapore Exchange (SGX), a small satellite market, successfully competes with a large home market, the Osaka Securities Exchange (OSE), in trading the Nikkei 225 futures index. In this paper, we investigate the contribution of the SGX to price discovery and shed light on the reasons for its con...