This is the first study to examine the intraday price discovery process between the Singapore Exchange and the China Financial Futures Exchange. Using one- and five-minute high-frequency data from May to November 2011, we found that China’s CSI 300 index futures dominated Singapore’s A50 index futures in terms of the price discovery process. However, A50 futures contracts also made a substantial contribution (26%-37%) to the price discovery process. A further division of the sample period into two sub-periods found that A50 futures dominated the price discovery process from May to August 2011 and that CSI 300 futures dominated the process from August to November 2011. These results have important implications for both traders and policymakers.
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