A 2004 14 Abstract With the background of China being troubled with overseas listing of Chinese index future, this paper analyses the reactions of local stock markets towards overseas listing of their index future around the world. It is revealed that one factor of critical importance is the order whether the local listing earlier or later than overseas listing. If overseas listing precedes local listing, then impacts of overseas listed index future on local stock market usually tend to be stronger and local stock market unanimously fall when such thing happens. Keywords Financial derivatives, Stock index future, Overseas listing / / / / 15 2005 2 1 3.5 1.1 1
A B / A B ADR HKEx 1997 9 12 2001 5 7 2003 12 8 H CBOECFE 2004 10 18 / A 2003 SGXHKEx A 1986 9 3 (SIMEX) 225 H CBOE 3 2004 12 31 14 4 7 / 1 1 2004 12 31 / / 1. H SGX 2003-12-8 2. CBOE CBOE CFE 2004-10-18 3. MSCI SGX 1997-1-9 4. MSCI SGX 1998-11-23 5. S&P CNX Nifty SGX 2000-9-25 6. 225 SGX 1986-9-3 1 2001 8 31 2 2004 3 29 3 H CBOE H ADR H ADR 4 SIMEX 225 14 2004 2
7. 225 CME 1990-9-25 8. 225 CME 2004-2-23 9. 300 SGX 1995-2-3 10. S&P/TOPIX 150 CME 2002-3-18 11. MSCI SGX 2002-5-15 12. HKEx 2002-5-6 13. OSE 2002-7-15 14. OMX EDX EDX London 1989-12-15 1 1 6 2 SGX 5 2004 6 CME 3 3 4 MSCI 3 S&P 2 3 Finnerty and Park 1987 Kawaller et al. 1987 Stoll and Whaley 1990 Chan 1992 Huang and Stoll 1994 De jong and Donders 1998 Harris (1989) Damodaran(1990) Lockwood and Linn(1990) Lee and Ohk (1992) Antoniou and 5 2004 12 31 8 6 3 3
Holemes 1995Chang, Cheng and Pinegar 1999 Edwards (1988a, b) Grossman (1988) Bechetti and Roberts (1990) Bacha and Vila (1994) Galloway and Miller 1997 Damodaran 1990 S&P500 Booth et al. 1996 1990 1994 OSE SGX CME 225 Coving et al. 2003 2000 3 6 TSE 225 OSE SGX 225 75% 42% 33% 225 1 2 1 2 * * TAIFEX 1998-7-21 * HKEx 1986-5-6 4
S&P CNX Nifty NSE 2000-6-12 225 OSE 1988-9-3 300 OSE 1994-2-14 S&P/TOPIX 150 ** TSE 2001-6-11 MSCI OSE 2002-7-15 CME 1997-10-6 OMX Stockholmsbörsen 1987-4-3 * (TAIEX) MSCI MSCI TAIEX MSCI (TAIEX) MSCI MSCI ** 2004 9 10 1 t =0 t 4 1 2 3 6 1 AR 1 2 AR 2 3 25 20 AR 1 > AR 2 5
4 R 1 R 2 R = Rt, t 0 1 = 1/ n R2 = ( Π(1 + R t )) 1 tn=2 or 3 CAPM 1 10 R N R N 0 1/10 = [ Π t= 9 (1 + Rt )] 1 t AR AR 1 2 = R 1 = R 2 RN RN 2 Bloomberg 3 3 3 14 11 3 3 [-9,0] 10 25 R 1 6
1 11 6 5 [-1,1] 5 6 2 14 8 6 [-1,1] 9 5 3 7 / 3 / / 7 4 / 4 OMX 7 1997 9 12 2.74% 3-2.64% 7
3 / t=0 [-9,0] R N a a R 1 AR 1 R 2 AR 2 H b 2003-12-8 0.23% -1.00% -1.23% 2-0.22% -0.45% CBOE b 2004-10-18-0.66% 0.17% 0.83% 8 0.32% 0.98% 1986-5-6 0.36% 0.86% 0.50% 9 0.41% 0.05% MSCI 1998-11-23 0.65% 2.75% 2.09% 8 1.71% 1.06% c 225 1986-9-3-0.23% -1.01% -0.78% 3-0.46% -0.23% 225 1988-9-3-0.27% 0.83% 1.10% 10 0.75% 1.02% CME 225 1990-9-25-0.71% -4.75% -4.04% 1-3.26% -2.55% CME 225 2004-2-23 0.38% -2.07% -2.45% 1-0.36% -0.74% 300 1994-2-14 0.36% -1.48% -1.84% 1-0.78% -1.13% 300 1995-2-3-0.07% -0.34% -0.27% 4-0.17% -0.10% S&P/TOPIX 150 2001-6-11-0.37% -0.85% -0.48% 3-1.01% -0.64% CME S&P/TOPIX 150 2002-3-18 0.04% 2.67% 2.63% 10 0.76% 0.72% MSCI 2002-5-15 0.06% 1.68% 1.61% 10 0.98% 0.92% MSCI 2002-7-15-0.28% -1.94% -1.66% 2-1.05% -0.77% OMX 1987-4-3 0.06% 1.27% 1.21% 9 1.06% 1.00% OMX OM London 1989-12-15 0.68% 0.62% -0.06% 5 0.00% -0.68% 8
MSCI d 1997-1-9 0.17% -0.12% -0.30% 4 1.05% 0.88% 1998-7-21 0.13% -1.22% -1.35% 1-0.63% -0.76% 2001-4-9-0.71% -2.05% -1.34% 3-0.32% 0.39% CBoT 1997-10-6 0.13% 0.77% 0.64% 7 0.62% 0.49% CBoT 2002-4-5-0.20% 0.36% 0.56% 7 0.17% 0.37% 2002-5-6-0.33% -1.98% -1.66% 1-0.85% -0.52% 2002-7-15-0.67% -0.52% 0.15% 7-1.26% -0.59% S&P CNX Nifty 2000-6-12 0.95% -1.83% -2.77% 2-0.71% -1.65% S&P CNX Nifty 2000-9-25-1.19% 2.06% 3.25% 10-1.58% -0.39% a [-9,0] R 1 b c MSCI MSCI d MSCI MSCI 9
Booth et al. 1996 Coving et al. 2003 225 3 SIMEX CME 225 225 14 1 225 1984 SIMEX 1988 225 225 1.01% -0.78% 3 MSCI SIMEX 1997 MSCI TAIEX 0.12% -0.3% 3SIMEX 10
2004 225 2003 A 225 MSCI A A A A SIMEX 1998 MSCI SIMEX MSCI SIMEX 1986 MSCI SIMEX MSCI 2.75% 2.09% 3 MSCI 2002 2004 0 2 2000 S&P CNX Nifty S&P CNX Nifty IISL NSENSE 2000 6 S&P CNX Nifty 9 NSE NSE S&P CNX Nifty 2.06% 3.25% 3 NSE S&P CNX Nifty 3 11
NSE 0 OMX OMX 30 OM SIX AB 1987 OM OMX OM 1985 1989 OM OM London OMX OMX 0.62% -0.06% MSCI 1998 9 2000 6 1986 225 12
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