Microstructure examination of illiquid contracts : evidence from the Singapore derivatives market.
Kho, James Chung Wah.
Ong, Eng Eng.
Shu, Xiao Hua.
Date of Issue2000
College of Business (Nanyang Business School)
This study investigates the nature of intraday and daily trading activity, volatility of return and bid-ask spread for three illiquid contracts traded on the Singapore International Monetary Exchange (SIMEX) Limited from February 1995 to September 1999.
Final Year Project (FYP)
Nanyang Technological University