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International linkages in Nikkei Stock Index futures markets

✍ Scribed by G.Geoffrey Booth; Tae-Hwy Lee; Yiuman Tse

Book ID
116161667
Publisher
Elsevier Science
Year
1996
Tongue
English
Weight
915 KB
Volume
4
Category
Article
ISSN
0927-538X

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πŸ“œ SIMILAR VOLUMES

Regime switching in stock index and futu
Regime switching in stock index and futures markets: a note on the NIKKEI evidence
✍ Angelos Kanas πŸ“‚ Article πŸ“… 2009 πŸ› John Wiley and Sons 🌐 English βš– 95 KB

## Abstract Using a time‐varying regime‐switching vector error correction approach, we find strong evidence that the NIKKEI stock index cash and futures prices are jointly characterized by regime switching, which is time‐varying and dependent upon the basis, the interest rate, the volatility of the

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## Introduction he Nikkei Stock Average Futures contract started trading at the Singapore T International Monetary Exchange (SIMEX) on September 3, 1986. SIMEX became the first futures exchange to trade a stock index futures outside the country where the indexed stocks are traded. The stock index