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 | Schools: | Nanyang Business School | 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 | Size | Format | |
|---|---|---|---|---|
| NBS-REPORTS_1550.pdf Restricted Access | 285.35 kB | Adobe PDF | View/Open |
Page view(s) 50
578
Updated on Mar 15, 2025
Download(s)
1
Updated on Mar 15, 2025
Google ScholarTM
Check
Items in DR-NTU are protected by copyright, with all rights reserved, unless otherwise indicated.