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

• Main Authors: Chen, Gabriel Min Wei., How, Ya Ting., Toh, Gin Meng.
• Other Authors: Ding, David Kuan Yong
• Format: Final Year Project
• Published: 2008
• Subjects: DRNTU::Business::Finance::Equity
• Online Access: http://hdl.handle.net/10356/10392
• Institution: Nanyang Technological University

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...