An empirical examination of the Simex Nikkei 225 futures contract around the Kobé earthquake and the Barings Bank collapse

Journal of Futures Markets

Volumn 19, Issue 1, 1999, Pages 1-29

  Walsh, David M ^a   Quek, Jinwei ^a  

^a State Street Global Advisors ^*

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0041036941     PISSN: 02707314     EISSN: None     Source Type: Journal    
DOI: 10.1002/(SICI)1096-9934(199902)19:1<1::AID-FUT1>3.0.CO;2-D     Document Type: Article

References (56)

1. Baker, G. (1995a, February 28). The Barings crisis: Exchanges may have to widen their margins, Financial Times.
2. Baker, G. (1995b). The Markets: Whither Nikkei without Leeson Largesse? Financial Times (London), 6 March:22.
3. Baker, G. (1995c). The Barings Crisis: Collapse Adds to Japanese Banks' Woes, Financial Times (London), 6 March:2.
4. Baker, G. (1995d). Muted Bark of a Market Watchdog: Barings Affair Raises Japan Supervision Questions, Financial Times (London), 7 March:8.
5. Berstein, P. L. (1987). Liquidity, Stock Markets, and Market Makers, Financial Management, 16(2), 54-62.
6. Bessembinder, H., & Seguin, P. J. (1993). Price Volatility, Trading Volume, and Market Depth: Evidence from Futures Markets, Journal of Financial and Quantitative Analysis, 28(1), 21-39.
7. Chishti, S. U., Hasan, M. A., & Mahmud, S. F. (1992). Macroeconomic Modeling and Pakistan's Economy, Journal of Development Economics, 38, 353-370.
8. Demsetz, H. (1968). The Cost of Transacting, Quarterly Journal of Economics, 82, 33-53.
9. Doan, T. (1989). RATS Version 4.0 User's Manual. Estima, IL: RATS.
10. Doan, T., Littleman, R., & Sims C. (1984). Forecasting and Conditional Projection Using Realistic Prior Distribution, Econometric Review, 3, 1-100.
11. Ferguson, M. F., Mann, S. C., & Schneck, L. J. (1995). Depth and Tightness, unpublished manuscript, University of Kentucky.
12. Followill, R. A., & Rodriguez, A. J. (1991). The Estimation and Determinants of Bid-Ask Spreads in Futures Markets, The Review of Futures Markets, 10(1), 1-11.
13. Foster F. D., & Viswanathan S. (1993). Variations in Trading Volume, Return Volatility and Trading Costs: Evidence from Recent Price Formation Models, Journal of Finance, 48, 187-211.
14. Frino, A., & McCorry, M. (1996). Why Are Spreads Tighter on the Australian Stock Exchange Than the NYSE? An Electronic Open Limit Order Book versus the Specialist Structure, Securities Industry Research Center of Asia-Pacific working paper.
15. Gapper, J. (1995). The Barings Crisis: Why Did Directors Not Recognize the Risks? Financial Times (London), 2 March, 2.
16. George, T. J., Kaul, G., & Nimalendran, M. (1991). Estimation of the Bid-Ask Spread and Its Components: A New Approach, The Review of Financial Studies, 4(4), 623-656.
17. George, T. J., & Longstaff, F. A. (1993). Bid-Ask Spread and Trading Activity in the S&P 100 Index Options Market, Journal of Financial and Quantitative Analysis, 28(3), 381-397.
18. Glosten, L. R. (1987). Components of the Bid-Ask Spread and the Statistical Properties of Transaction Prices, Journal of Finance, 42(2), 1293-1308.
19. Glosten, L. R., & Harris, L. E. (1988). Estimating the Components of the Bid/ Ask Spread, Journal of Financial Economics, 21(1), 123-142.
20. Grossman, S. J., & Miller, M. H. (1988). Liquidity and Market Structure, Journal of Finance, 43(3), 617-633.
21. Handa, P. (1992). A Direct Test of the Theory of Intraday Concentrated Trading Patterns, New York University Stern School of Business working paper.
22. Harris, L. E. (1988). Liquidity, Trading Rules and Electronic Trading Systems, New York University Salomon Center Monograph Number 1990-4.
23. Hasbrouck, J., & Schwartz, R. A. (1988). Liquidity and Execution Costs in Equity Markets, Journal of Portfolio Management, 14(3), 10-16.
24. Hentschel L. & Smith C. W., Jr, (1994). Risk and Regulation in Derivatives Markets, Journal of Applied Corporate Finance, 7(Fall). 8-21.
25. Ho, T., & Stoll, H. (1980). On Dealer Markets under Competition, Journal of Finance, 35, 259-267.
26. Jeon, B. N., & von Furstenberg, G. M. (1990). Growing International Co-Movement in Stock Price Indexes, Quarterly Review of Economics and Business, 30(3), 15-30.
27. Jones, C. M., Kaul, G., & Lipson, M. (1994). Information, Volume and Volatility, Journal of Financial Economics, 36, 127-154.
28. Kamas, L., & Joyce, J. P. (1993). Money, Income and Prices under Fixed Exchange Rates: Evidence from Causality Tests and VARs, Journal of Macroeconomics, 15(4), 747-768.
29. Karpoff, J. M. (1987). The Relation between Price Changes and Trading Volume: A Survey, Journal of Financial and Quantitative Finance, 22(1), 109-126.
30. Koop, G. (1996). Parameter Uncertainty and Impulse Response Analysis, Journal of Econometrics, 72 (1,2), 135-149.
31. Kyle, A. S. (1985). Continuous Auctions and Insider Trading, Econometrica, 53(6), 1315-1335.
32. Laux, P. A. (1992). Bid-Ask Spreads in Financial Futures, Journal of Futures Markets, 12(6), 621-634.
33. Lee, C. M. C., Mucklow, B., & Ready, M. J. (1993). Spreads, Depths, and the Impact of Earnings Information: An Intraday Analysis, The Review of Financial Studies, 6(2), 345-374.
34. Littleman, R. B. (1984). Forecasting and Policy Analysis with Bayesian Vector Autoregression Models, Federal Reserve Rank of Minneapolis Quarterly Review, 14, 30-41.
35. Lim C. S., & Ng, N. K. (1995). The Report of the Inspectors Appointed by the Minister for Finance, Price Waterhouse (Singapore), Ministry of Finance, Singapore.
36. Maddala, G. S. (1989). Introduction to Econometrics. New York: Macmillan.
37. Martin, P. (1995). The Rarings Report: Questions Unanswered about $190m Hole in Accounts, Financial Times (London), 19 July, 6.
38. Martin, P., & Financial Times writers. (1995). The Barings Report: Blunders That Bust the Bank, Financial Times (London), 24 March, 24.
39. McMillin, W. D., & Parket, R. E. (1991). Federal Debt, Tax-Adjusted q, and Macroeconomic Activity, Journal of Money, Credit, and Banking, 20, 319-335.
40. Montagnon, P., & Cooke, K. (1995a). The Barings Crisis: Exchange Members Fear Big Bill - SIMEX, Financial Times (London), 1 March, 2.
41. Montagnon, P., & Cooke, K. (1995b). Prompt Treatment for Futures Shock: Singapore Has Moved Fast to Mend Its Reputation after the Barings Havoc, Financial Times (London), 3 March, 17.
42. Morse, L. (1995). SIMEX Shrugs Off Barings Crisis, Financial Times (London), 5 April, 34.
43. Neal, R. (1992). A Comparison of Transaction Costs between Competitive Market Maker and Specialist Market Structures, Journal of Business, 65(3), 317-334.
44. Petersen, M. A., & Fialkowski, D. (1993). Posted versus Effective Spreads: Good Prices or Bad Quotes? Journal of Financial Economics, 35(3), 269-292.
45. Roll, R. (1984). A Simple Measure of the Effective Bid-Ask Spread in an Efficient Market, Journal of Finance, 39(4), 1127-1139.
46. Runkle, D. E. (1987). Vector Autoregression and Reality, Journal of Business and Economic Statistics, 5, 437-442.
47. Schwert, G. W. (1990). Stock volatility and the crash of '87, The Review of Financial Studies, 3, 77-102.
48. Sims, C. A. (1980). Macroeconomics and Reality, Econometrica, 48, 1-48.
49. Sims, C. A. (1982). Policy Analysis with Econometric Models, Brooking Papers on Economic Activity, 1, 107-152.
50. Stoll, H. (1978). The Supply of Dealer Services in Securities Markets, Journal of Finance, 33, 1133-1151.
51. Terazono, E. (1995a). Nikkei at 14-Month Low As Manila Drops 4 Per Cent, Financial Times (London), 28 February, 39.
52. Terazono, E. (1995b). When Talk Proved Cheaper Than Reality, Financial Times (London), 4 March, 2.
53. Tinic, S. (1972). The Economic of Liquidity Services, Quarterly Journal of Economics, 86, 79-93.
54. Thompson, S. R., & Waller, M. L. (1987). The Execution Cost of Trading in Commodity Futures Markets, Stanford Food Research Institute Studies, 20, 141-163.
55. Thompson, S. R., & Waller, M. L. (1988). Determinants of Liquidity Costs in Commodity Futures Markets, The Review of Futures Market, 7(1), 111-123.
56. Vijh, A. M. (1990). Liquidity of the CBOE Equity Options, Journal of Finance, 45(3), 1157-1179.