Abstract
This paper investigates the cross-market linkage between Singapore and Taiwan futures markets for the pre- and post-participation of qualified foreign institutional investors (QFIIs) in Taiwan futures' trading. We employ error correction model and generalized impulse response function to gauge the causal transmission patterns between the two markets. The two markets cointegrated after the participation of QFIIs in Taiwanese market, suggesting that QFIIs play an important role between the two markets. We also find that Singapore futures market performs the price discovery of Taiwan stock index futures.
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