Search Results - subject:"Nikkei225 futures"

Spot-futures price adjustments in the Nikkei 225: linear or smooth transition? Financial centre leadership or home bias?

Qin, Jieye; Green, Christopher J.; Sirichand, Kavita - In: Journal of Risk and Financial Management 16 (2023) 2, pp. 1-31

This paper studies price discovery in Nikkei 225 markets through the nonlinear smooth transition price adjustments between spot and future prices and across all three futures markets. We test for smooth transition nonlinearity and employ an exponential smooth transition error correction model...

Persistent link: https://www.econbiz.de/10014332864

Spot-futures price adjustments in the Nikkei 225: linear or smooth transition? : financial centre leadership or home bias?

Qin, Jieye; Green, Christopher J.; Sirichand, Kavita - In: Journal of risk and financial management : JRFM 16 (2023) 2, pp. 1-31

Persistent link: https://www.econbiz.de/10014305752

Improving MACD technical analysis by optimizing parameters and modifying trading rules: Evidence from the Japanese Nikkei 225 futures market

Kang, Byung-Kook - In: Journal of Risk and Financial Management 14 (2021) 1, pp. 1-21

days. This study confirms that applying the traditional model to Japan's Nikkei 225 futures prices produces negative …

Persistent link: https://www.econbiz.de/10012611595

Improving MACD technical analysis by optimizing parameters and modifying trading rules : evidence from the Japanese Nikkei 225 futures market

Kang, Byung-Kook - In: Journal of risk and financial management : JRFM 14 (2021) 1/37, pp. 1-21

days. This study confirms that applying the traditional model to Japan’s Nikkei 225 futures prices produces negative …

Persistent link: https://www.econbiz.de/10012417747

Cross hedging effectiveness of S&P500 and NIKKEI225 futures to the Philippine Stock Exchange Composite Index

Maghirang, Paul Kenneth - In: Journal of international trade & commerce 12 (2016) 4, pp. 223-236

Persistent link: https://www.econbiz.de/10011796320

Separating Information Maximum Likelihood estimation of the integrated volatility and covariance with micro-market noise

Kunitomo, Naoto; Sato, Seisho - In: The North American Journal of Economics and Finance 26 (2013) C, pp. 282-309

correlated with the efficient market price process. We illustrate the use of SIML by analyzing Nikkei-225 futures, which are the …

Persistent link: https://www.econbiz.de/10010730254

Separating Information Maximum Likelihood estimation of the integrated volatility and covariance with micro-market noise

Kunitomo, Naoto; Sato, Seisho - In: The North American journal of economics and finance : a … 26 (2013), pp. 282-309

Persistent link: https://www.econbiz.de/10010365764

The SIML estimation of realized volatility of the Nikkei-225 Futures and hedging coefficient with micro-market noise

Kunitomo, Naoto; Sato, Seisho - In: Mathematics and Computers in Simulation (MATCOM) 81 (2011) 7, pp. 1272-1289

by Kunitomo and Sato [11–13]. By analyzing the Nikkei-225 Futures data, we found that the estimates of realized …

Persistent link: https://www.econbiz.de/10010869922

Market interdependence before, during, and after the 2007 US subprime crisis: evidence from index futures markets

Bagchi, Debasis; Ryu, Doojin - In: Afro-Asian Journal of Finance and Accounting 2 (2011) 3, pp. 230-247

on KOSPI200 and Nikkei225 futures markets during the normal growth period but has relatively little influence on the two …

Persistent link: https://www.econbiz.de/10009352987

Index Futures and Predictability of the Underlying Stocks’ Returns: The Case of the Nikkei 225

Liu, Shinhua - In: Journal of Financial Services Research 34 (2008) 1, pp. 77-91

Persistent link: https://www.econbiz.de/10005680201