Impact of price limits on SGX Nikkei 225 futures.

Impact of price limits on SGX Nikkei 225 futures.

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...

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Bibliographic Details
Main Authors: Tan, Wee Chuan., Lee, Puay Shan., Soh, Wee Hong.
Other Authors: Ding, David Kuan Yong
Format: Final Year Project
Published: 2008
Subjects:
DRNTU::Business::Finance::Futures
Online Access:http://hdl.handle.net/10356/8833
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Summary: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).

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