The Microstructure Behavior of SGX Nikkei 225 Index Futures Resulting from Component Changes of the Underlying Cash Market Index

• Main Authors: CHAROENWONG, Charlie, DING, David K., SIRAPRAPASIRI, Vasan
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2016
• Subjects: Nikkei 225 Futures; Component Changes; Singapore Exchange; stock markets; Asian Studies; Finance and Financial Management; Portfolio and Security Analysis
• Online Access: https://ink.library.smu.edu.sg/lkcsb_research/5009; https://ink.library.smu.edu.sg/context/lkcsb_research/article/6008/viewcontent/Microstructure_SGX_Nikkei_pv.pdf
• Institution: Singapore Management University

We study the effect of changes involving component stocks of the Nikkei 225 stock index on the behavior of the Nikkei 225 index futures. Specifically, we examine the effects of component changes of the Nikkei 225 on the volume, returns, volatility, and bid-ask spreads (BAS) on its corresponding futu...