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      Impact of price limits on SGX Nikkei 225 futures.

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      NBS-REPORTS_1550.pdf (285.3Kb)
      Author
      Tan, Wee Chuan.
      Lee, Puay Shan.
      Soh, Wee Hong.
      Date of Issue
      2003
      School
      College of Business (Nanyang Business School)
      Abstract
      This paper investigates the impact of price limits, as a control mechanism, on volatility and liquidity for the SGX Nikkei 225 futures. Time-stamped bid and ask tick data from January 1, 1990 to December 31, 2001 are employed to investigate the impact on volatility and liquidity. Market liquidity is studied by examining the minute-by-minute trading volume and intraday bid-ask spreads (BAS).
      Subject
      DRNTU::Business::Finance::Futures
      Type
      Final Year Project (FYP)
      Rights
      Nanyang Technological University
      Collections
      • NBS Student Reports (FYP/IA/PA/PI)

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