Microstructure examination of illiquid contracts : evidence from the Singapore derivatives market.

This study investigates the nature of intraday and daily trading activity, volatility of return and bid-ask spread for three illiquid contracts traded on the Singapore International Monetary Exchange (SIMEX) Limited from February 1995 to September 1999.

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Bibliographic Details
Main Authors: Kho, James Chung Wah., Ong, Eng Eng., Shu, Xiao Hua.
Other Authors: Ding, David Kuan Yong
Format: Final Year Project
Published: 2008
Subjects:
Online Access:http://hdl.handle.net/10356/11016
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Institution: Nanyang Technological University