Walsh, David M.; Quek, Jinwei - In: Journal of Futures Markets 19 (1999) 1, pp. 1-29
This study examines the levels and interrelationships of volatility, volume, open interest and effective bid‐ask spread on the Nikkei 225 futures contract on SIMEX. The sample chosen is critical; conclusions regarding the effect of the Kobé earthquake of January 1995 and the resulting...