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