Regime switching cointegration tests for the Asian stock index futures: evidence for MSCI Taiwan, Nikkei 225, Hong Kong Hang-Seng, and SGX Straits Times indices

摘要

This study applies a cointegration system that considers regime shifts in order to study the long-run relationship between the stock index and stock index futures markets. The MSCI Taiwan, Nikkei 225, Hong Kong Hang-Seng, and Singapore Exchange (SGX) Straits Times indices are examined. The empirical evidence shows that the cointegration system with regime shifts performs better than the usual cointegration system without considering regime shifts.