Impact of price limits on SGX Nikkei 225 futures.

• 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
• Institution: Nanyang Technological University

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...