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

• Main Authors: Covrig, V., DING, David K., Low, B.S.
• 格式: text
• 語言: English
• 出版: Institutional Knowledge at Singapore Management University 2004
• 主題: Nikkei 225 Index; Futures; Price Discovery; Market Microstructure; Common Factor Components Method; Finance and Financial Management; Portfolio and Security Analysis
• 在線閱讀: https://ink.library.smu.edu.sg/lkcsb_research/731

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...