search query: @freeterm GARCH / total: 9
reference: 8 / 9
| Author: | Ito, T. Lin, W.-L. |
| Title: | Race to the center: competition for the Nikkei 225 futures trade |
| Journal: | Journal of Empirical Finance
2001 : JUL, VOL. 8:3, p. 219-242 |
| Index terms: | Stock markets Volatility Trading Return on investment |
| Freeterms: | Margin requirements Futures price volatility Trading volume GARCH |
| Language: | eng |
| Abstract: | This paper examines the impact of changes in margin requirements on returns, transaction volume, and price volatility of the Nikkei 225 futures traded on the Osaka Securities Exchange (OSE)and the Sigapore International Money Exchange (SIMEX). |
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