Previous studies of the quality of market‐forecasted volatility have used the volatility that is implied by exchange‐traded option prices. The use of implied volatility in estimating the market view of future volatility has suffered from variable measurement errors, such as the...

The Singapore Exchange (SGX), a small satellite market, successfully competes with a large home market, the Osaka Securities Exchange (OSE), in trading the Nikkei 225 futures index. In this paper, we investigate the contribution of the SGX to price discovery and shed light on the reasons for its...

Previous studies investigated the profitability of stock index futures based on transaction price data, and could overstate the frequency of arbitrage opportunities and size of arbitrage profits. This article obtains a data base for the Hong Kong index futures and index options market that...