Working Paper Series 06-04 Intra Day Behaviours of the STI Stock Index and SiMSCI Index Futures in the Singapore Exchange

Following the evolvement of technology in the trading and reporting systems of financial markets in the recent past, the abundance of high frequency data made available for analysis has opened up the scope for more insightful research work on the intra day behaviour of financial market data. Using high frequency intra day data from 1 January 2004 to 31 December 2004, this paper examines the patterns of the intra day returns of the Singapore Straits Times Index (STI) and the MSCI Singapore Free (SiMSCI) Index futures contract. The popular Variance Ratio framework together with other commonly employed tests will be used as comparison in our inference of the serial correlation in the returns series. Interestingly, our empirical findings report no evidence of asynchronous trading effect present in the observed STI stock index returns while the unusual phenomenon of strong significant positive serial correlation is observed in the SiMSCI futures returns.