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Title: 日経225先物市場の価格発見機能
Other Titles: Intraday Price Discovery Process of the Nikkei 225 Futures Markets
Authors: 森保, 洋
Authors (alternative): Moriyasu, Hiroshi
Issue Date: 24-Dec-2010
Publisher: 長崎大学経済学会 / Economics Society of Nagasaki University
Citation: 經營と經濟, vol.90(3), pp.351-363; 2010
Abstract: This paper explores the intraday price discovery process among three futures in the Nikkei 225 futures markets: the regular Nikkei 225 futures traded on the Singapore Exchange (SGX) and the Osaka Stock Exchange (OSE) and Nikkei 225 mini futures using intraday transactions data. Specifically, using the Hasbrouck methodologies, information share of the three futures markets is estimated to compare the information efficiency among the Nikkei 225 futures markets. The empirical results show that more than half of the price discovery occurs in the SGX. Moreover, the launch of the Nikkei 225 mini futures decreases the SGX's information share by about 25% and shortens the time for price adjustment in arbitrage trading. These results suggest that price discovery tends to occur in the market with a smaller contract unit and minimum price fluctuation.
Description: 杉原敏夫教授定年退職記念号 / In Honour of Prof. Toshio Sugihara
Keywords: Price Discovery / Nikkei 225 Futures
URI: http://hdl.handle.net/10069/24914
ISSN: 02869101
Type: Departmental Bulletin Paper
Text Version: publisher
Appears in Collections:Volume 90 No. 3

Citable URI : http://hdl.handle.net/10069/24914

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