Please use this identifier to cite or link to this item: https://hdl.handle.net/10356/8833
Title: Impact of price limits on SGX Nikkei 225 futures.
Authors: Tan, Wee Chuan.
Lee, Puay Shan.
Soh, Wee Hong.
Keywords: DRNTU::Business::Finance::Futures
Issue Date: 2003
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).
URI: http://hdl.handle.net/10356/8833
Rights: Nanyang Technological University
Fulltext Permission: restricted
Fulltext Availability: With Fulltext
Appears in Collections:NBS Student Reports (FYP/IA/PA/PI)

Files in This Item:
File Description SizeFormat 
NBS-REPORTS_1550.pdf
  Restricted Access
285.35 kBAdobe PDFView/Open

Page view(s) 20

285
checked on Sep 28, 2020

Download(s) 20

1
checked on Sep 28, 2020

Google ScholarTM

Check

Items in DR-NTU are protected by copyright, with all rights reserved, unless otherwise indicated.