A study on Nikkei-225 futures index

Abstract

The collapse of Barings, one of England’s oldest banks, received a lot ofmedia attention and aroused much interests. The huge loss on the trading ofNikkei- 225 Futures contracts by Mr Nick Leeson, sent a shock wave through the financial world. This put the Nikkei-225 Futures contracts in the limelight for quite a while. It was this incident that motivated us to research into the Nikkei- 225 Futures Index.

We have attempted to make this research as comprehensive and complete as possible covering all key aspects on the index. The research covers a wide area on Nikkei-225 Futures Index spanning from its development, its general description, to a very detailed discussion of its various trading strategies. An in-depth research into its price behaviour was also carried out which included a test of efficiency on the Japanese Stock Market; correlation tests with key Japanese and international indices; and finally events study.

We have learnt a lot about the index through the process of doing this research and we hope that it will provide an insight into the index, its price behaviour and its trading strategies to all readers.