Title: Time-varying bid–ask components of Nikkei 225 index futures on SIMEX
Abstract: This paper investigates the time-varying behavior of the bid–ask spread components of Nikkei 225 index futures contract on the Singapore International Monetary Exchange (SIMEX). Using the Huang and Stoll [Journal of Financial Economics 41 (1996) 313] trade indicator model, intraday transaction data is analyzed for the period 1993 to 1996. The empirical results support the presence of a large inventory holding cost (63.39%) and a smaller adverse information cost (3.70%). Time-varying analyses show an L-shaped pattern of the adverse information costs and reversed U-shaped pattern of the inventory holding costs during a day. Moreover, for the last 15 min when only the SIMEX is open (Tokyo Stock Exchange (TSE)-nontrading period), there is a relatively large portion of adverse information cost (7.79%).
Publication Year: 2002
Publication Date: 2002-04-01
Language: en
Type: article
Indexed In: ['crossref']
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Cited By Count: 17
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