Intra-daily Trade Frequency of the Nikkei 225 Futures : The Interrelationship Between Osaka Securities Exchange and the Singapore Exchange

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Other Title
  • 日経225先物の日中取引頻度 : 大阪証券取引所とシンガポール取引所の連関性

Abstract

We analyze the intra-daily trade frequency of the Nikkei 225 futures listed on Osaka Securities Exchange (OSE) and Singapore Exchange (SGX). Since the number of trades can be considered as the proxy for information inflow to financial market, the analysis in this paper can be considered as the test of the 'heat wave' and 'meteor shower' hypothesis. The data we analyze are the number of trades aggregated from the ultra-high-frequency data at one minute interval in OSE and SGX. After de-trending the data, we estimate Multiplicative Error Model proposed by Engle (2002). The empirical results show that (1) strong persistence in the number of trades is found in OSE and SGX, (2)'heat wave' and 'meteor shower' effects are found in the both market.

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Details 詳細情報について

  • CRID
    1390001205767194624
  • NII Article ID
    110001818356
  • DOI
    10.18961/seikatsukeizaigaku.20.0_145
  • ISSN
    24241288
    13417347
  • Text Lang
    ja
  • Data Source
    • JaLC
    • CiNii Articles
    • KAKEN
  • Abstract License Flag
    Disallowed

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