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- W3125303543 abstract "In this paper, we chiefly address the determinants of off-shore listed prices of Indian and Chinese derivatives, especially when the underlying spot markets are closed for trading. Using microstructure data, we split a trading day of the underlying into three segments – pre-market hours, market hours, post-market hours and analyze what factors move the prices. When the underlying is open, we find contemporaneous and bi-directional causal relationship between the spot index and the corresponding SGX futures. When the underlying is closed for trading, we find strong statistical evidence to suggest that the US market is imperative in explaining the price movements of both SGX Nifty futures (SIN) and SGX FTSE China A50 index futures (SFC). We also find that USD/INR exchange rate movements determine the SIN movements when both the underlying and the US market are closed for trading. When we examine the volatility spillovers using BEKK GARCH model, we find only significant short-term shock spillovers. Particularly, we observe unidirectional short-term spillover from SIN to USD/INR exchange rate and a spillover from SFC to the US market." @default.
- W3125303543 created "2021-02-01" @default.
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- W3125303543 date "2018-01-01" @default.
- W3125303543 modified "2023-09-27" @default.
- W3125303543 title "What Drives the Off-Shore Futures Market? Evidence from India and China" @default.
- W3125303543 doi "https://doi.org/10.2139/ssrn.3097915" @default.
- W3125303543 hasPublicationYear "2018" @default.
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