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Title: The dynamics of the spot index and futures contract for Singapore exchange
Keywords: High Frequency Data, Stock Index, Index Futures, Variance Ratio Test, ARMA & Multivariate BEKK-GARCH
Issue Date: 24-Mar-2006
Citation: SOH TAT YONG (2006-03-24). The dynamics of the spot index and futures contract for Singapore exchange. ScholarBank@NUS Repository.
Abstract: Using high frequency data from 1 September 2004 to 31 October 2004, this thesis employs the Variance Ratio framework in the inference of serial correlation in the intra day returns of the Singapore Straits Times Index (STI) and the MSCI Singapore Free (SiMSCI) Index futures contract. Interestingly, our empirical findings report no evidence of asynchronous trading effect in the STI stock index returns while unusual strong significant positive serial correlation is observed in the SiMSCI futures returns. In addition, this thesis investigates the efficiency of the spot and futures markets by establishing the lead-lag relationship and providing evidence that the SiMSCI leads the STI by an average of 5 minutes. However, when the second moment dependencies across the returns series are examined using the BEKK-GARCH model, there is no evidence of volatility transmission between the returns series.
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