The Impact of Exchange Traded Funds and Index Futures of Five Asian Equity Markets - Empirical Evidence
Previous empirical studies focus more on the underlying index of the futures contract as the spot market is in the process of discovering which of the spot and the futures market lead the price formation. For this research, two derivative products from five Asian countries are utilised in order to s...
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| Format: | Dissertation (University of Nottingham only) |
| Language: | English |
| Published: |
2014
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| Online Access: | https://eprints.nottingham.ac.uk/27219/ |
| _version_ | 1848793328437428224 |
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| author | Yong, Sern Cherk |
| author_facet | Yong, Sern Cherk |
| author_sort | Yong, Sern Cherk |
| building | Nottingham Research Data Repository |
| collection | Online Access |
| description | Previous empirical studies focus more on the underlying index of the futures contract as the spot market is in the process of discovering which of the spot and the futures market lead the price formation. For this research, two derivative products from five Asian countries are utilised in order to show whether the Exchange Traded Funds (ETFs) or the futures index lead in price discovery. The ETFs are a perfect substitute for stock indexes because it tracks the performances of stock indexes as its benchmark. Using intraday 5-minute average price transaction data, a linear vector error correction model is applied to estimate the coefficients for the purpose of determining the contribution of both markets to the process of price discovery. This process uses the common factor weights as advocated by Schwarz and Szakmary (1994). The overall results suggest that futures still dominate in the lead-lag price relationship. Moreover, volatility is identified as the driving force behind the process of price leadership of the futures market. Nonetheless, futures market does not necessarily lead in price formation since there is a significant improvement in information distribution in the ETF markets during volatile periods. |
| first_indexed | 2025-11-14T18:58:33Z |
| format | Dissertation (University of Nottingham only) |
| id | nottingham-27219 |
| institution | University of Nottingham Malaysia Campus |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-14T18:58:33Z |
| publishDate | 2014 |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | nottingham-272192017-10-19T13:52:29Z https://eprints.nottingham.ac.uk/27219/ The Impact of Exchange Traded Funds and Index Futures of Five Asian Equity Markets - Empirical Evidence Yong, Sern Cherk Previous empirical studies focus more on the underlying index of the futures contract as the spot market is in the process of discovering which of the spot and the futures market lead the price formation. For this research, two derivative products from five Asian countries are utilised in order to show whether the Exchange Traded Funds (ETFs) or the futures index lead in price discovery. The ETFs are a perfect substitute for stock indexes because it tracks the performances of stock indexes as its benchmark. Using intraday 5-minute average price transaction data, a linear vector error correction model is applied to estimate the coefficients for the purpose of determining the contribution of both markets to the process of price discovery. This process uses the common factor weights as advocated by Schwarz and Szakmary (1994). The overall results suggest that futures still dominate in the lead-lag price relationship. Moreover, volatility is identified as the driving force behind the process of price leadership of the futures market. Nonetheless, futures market does not necessarily lead in price formation since there is a significant improvement in information distribution in the ETF markets during volatile periods. 2014 Dissertation (University of Nottingham only) NonPeerReviewed application/pdf en https://eprints.nottingham.ac.uk/27219/1/YongSernCherk.pdf Yong, Sern Cherk (2014) The Impact of Exchange Traded Funds and Index Futures of Five Asian Equity Markets - Empirical Evidence. [Dissertation (University of Nottingham only)] (Unpublished) |
| spellingShingle | Yong, Sern Cherk The Impact of Exchange Traded Funds and Index Futures of Five Asian Equity Markets - Empirical Evidence |
| title | The Impact of Exchange Traded Funds and Index Futures of Five Asian Equity Markets - Empirical Evidence |
| title_full | The Impact of Exchange Traded Funds and Index Futures of Five Asian Equity Markets - Empirical Evidence |
| title_fullStr | The Impact of Exchange Traded Funds and Index Futures of Five Asian Equity Markets - Empirical Evidence |
| title_full_unstemmed | The Impact of Exchange Traded Funds and Index Futures of Five Asian Equity Markets - Empirical Evidence |
| title_short | The Impact of Exchange Traded Funds and Index Futures of Five Asian Equity Markets - Empirical Evidence |
| title_sort | impact of exchange traded funds and index futures of five asian equity markets - empirical evidence |
| url | https://eprints.nottingham.ac.uk/27219/ |