Does microstructure disparity influence the speed of information flows? — a study of Taiwan and Singapore stock index futures markets

Abstract

This article examined the relationship of volatility-volume for Taiwan stock index futures (TX) traded on the Taiwan Futures Exchange (TAIFEX) and the MSCI Taiwan index futures (STW) traded on the Singapore Exchange (SGX) respectively. Given that there are major microstructure differences between these two markets, the threshold generalized autoregressive conditional heteroskedasticity (TARCH)-cum-volume model was applied and Flexible Fourier Form (FFF) further used to explore the purely information-driven trading volume. Empirical results indicate that investors possess volatility asymmetry responses toward information. Evidence also shows that the TX is consistent with the sequential information arrival model (SIAM), while the STW is more efficient than TX with regards to information transmission.