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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Institution:	Nanyang Technological University

id	sg-ntu-dr.10356-8833
record_format	dspace
spelling	sg-ntu-dr.10356-88332023-05-19T05:44:58Z Impact of price limits on SGX Nikkei 225 futures. Tan, Wee Chuan. Lee, Puay Shan. Soh, Wee Hong. Ding, David Kuan Yong Nanyang Business School DRNTU::Business::Finance::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 is studied by examining the minute-by-minute trading volume and intraday bid-ask spreads (BAS). 2008-09-24T07:25:31Z 2008-09-24T07:25:31Z 2003 2003 Final Year Project (FYP) http://hdl.handle.net/10356/8833 Nanyang Technological University application/pdf
institution	Nanyang Technological University
building	NTU Library
continent	Asia
country	Singapore Singapore
content_provider	NTU Library
collection	DR-NTU
topic	DRNTU::Business::Finance::Futures
spellingShingle	DRNTU::Business::Finance::Futures Tan, Wee Chuan. Lee, Puay Shan. Soh, Wee Hong. Impact of price limits on SGX Nikkei 225 futures.
description	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).
author2	Ding, David Kuan Yong
author_facet	Ding, David Kuan Yong Tan, Wee Chuan. Lee, Puay Shan. Soh, Wee Hong.
format	Final Year Project
author	Tan, Wee Chuan. Lee, Puay Shan. Soh, Wee Hong.
author_sort	Tan, Wee Chuan.
title	Impact of price limits on SGX Nikkei 225 futures.
title_short	Impact of price limits on SGX Nikkei 225 futures.
title_full	Impact of price limits on SGX Nikkei 225 futures.
title_fullStr	Impact of price limits on SGX Nikkei 225 futures.
title_full_unstemmed	Impact of price limits on SGX Nikkei 225 futures.
title_sort	impact of price limits on sgx nikkei 225 futures.
publishDate	2008
url	http://hdl.handle.net/10356/8833
_version_	1770565461550825472

Impact of price limits on SGX Nikkei 225 futures.

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