Impact of event changes of Nikkei 225 stock index on SGX Nikkei 225 index futures.
Chen, Gabriel Min Wei.
How, Ya Ting.
Toh, Gin Meng.
Date of Issue2007
College of Business (Nanyang Business School)
This paper investigates the impact of event changes of the Nikkei 225 stock index on the volume, returns, volatility and bid-ask spreads (BAS) of the SGX Nikkei 225 index futures. Specifically, our goal was to examine the effects of component changes, price limit hits and large price changes of the Nikkei 225 stock index on the SGX Nikkei 225 index futures.
Final Year Project (FYP)
Nanyang Technological University