The trading dynamics of close-substitute futures markets : evidence of margin policy spillover effects

Chng, Michael T. 2004, The trading dynamics of close-substitute futures markets : evidence of margin policy spillover effects, Journal of multinational financial management, vol. 14, no. 4-5, October-December, pp. 463-483.

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Title The trading dynamics of close-substitute futures markets : evidence of margin policy spillover effects
Author(s) Chng, Michael T.
Journal name Journal of multinational financial management
Volume number 14
Issue number 4-5
Season October-December
Start page 463
End page 483
Publisher Elservier B.V.
Place of publication Amsterdam, Netherlands
Publication date 2004-10
ISSN 1042-444X
Keyword(s) margin requirements
investor clienteles
trading dynamics
price discovery
Summary Volatility spillover is well documented among closely related securities. I investigate the relationship between margin policy and trading dynamics of the Nikkei 225 index futures markets of Osaka Securities Exchange (OSE) and Singapore Exchange (SGX). I find that OSE’s margin policy influences trading dynamics across both markets, although it is the less liquid SGX market that performs price discovery. This suggests that policy markers of close substitute markets should coordinate, or at least communicate policy intentions due to policy spillover. SGX’s market design facilitates price discovery, suggesting that a microstructure framework capable of overcoming the liquidity entry barrier is of interest to any futures exchange contemplating contract proliferation.
Language eng
Field of Research 140299 Applied Economics not elsewhere classified
HERDC Research category C1.1 Refereed article in a scholarly journal
Copyright notice ©2004, Elsevier B.V.
Persistent URL http://hdl.handle.net/10536/DRO/DU:30021892

Document type: Journal Article
Collection: School of Accounting, Economics and Finance
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