Impact of event changes of Nikkei 225 stock index on SGX Nikkei 225 index futures.

Abstract

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.