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

• المؤلفون الرئيسيون: Kho, James Chung Wah., Ong, Eng Eng., Shu, Xiao Hua.
• مؤلفون آخرون: Ding, David Kuan Yong
• التنسيق: Final Year Project
• منشور في: 2008
• الموضوعات: DRNTU::Business::Finance::Derivatives
• الوصول للمادة أونلاين: http://hdl.handle.net/10356/11016
• المؤسسة: Nanyang Technological University

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.