Price Discovery in Informationally-Linked Markets: A Microstructure Analysis of Nikkei 225 Futures

• Main Authors: Covrig, V., DING, David K., Low, B.S.
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2004
• Subjects: Nikkei 225 Index; Futures; Price Discovery; Market Microstructure; Common Factor Components Method; Finance and Financial Management; Portfolio and Security Analysis
• Online Access: https://ink.library.smu.edu.sg/lkcsb_research/731
• Institution: Singapore Management University

As the process of globalization of trading and competition among exchanges for order flow accelerates, it is important to determine the information revelation and price discovery in informationally-linked markets. This paper examines the intradaily price discovery process of Nikkei 225 index in thre...