Impact of price limits on SGX Nikkei 225 futures.

• المؤلفون الرئيسيون: Tan, Wee Chuan., Lee, Puay Shan., Soh, Wee Hong.
• مؤلفون آخرون: Ding, David Kuan Yong
• التنسيق: Final Year Project
• منشور في: 2008
• الموضوعات: DRNTU::Business::Finance::Futures
• الوصول للمادة أونلاين: http://hdl.handle.net/10356/8833

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...