Impact of price limits on SGX Nikkei 225 futures.

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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
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