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| Tekijä: | Shyy, G. Shen, C. H. |
| Otsikko: | A comparative study on interday market volatility and intraday price transmission of Nikkei/JGB futures markets between Japan and Singapore |
| Lehti: | Review of Quantitative Finance and Accounting
1997 : SEP, VOL. 9:2, p. 147-163 |
| Asiasana: | MARKET CONDITIONS VOLATILITY FUTURE MARKET STRUCTURE JAPAN |
| Kieli: | eng |
| Tiivistelmä: | This study investigates the impact of different futures trading mechanisms employed by TSE/OSE (automated system with Saitori matching) and SIMEX. The study compares the return volatility and intermarket price transmission of JGB and Nikkei futures between exchanges in Japan and Singapore. No significant difference was found in the performance measurements between OSE and SIMEX, regarding Nikkei futures. Both OSE and SIMEX were found to have significant negative first-order autocorrelation of the return series in the open and higher volatility in the open than in the close . Granger causality was found in both directions of the price transmission between OSE and SIMEX. Saitori matching system does not reduce return volatility and causes delay in the open of Nikkei futures on OSE. |
SCIMA