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

David M. Walsh and Jinwei Quek

Journal of Futures Markets, 1999, vol. 19, issue 1, 1-29

Abstract: 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 collapse of Barings Bank in February 1995 can be uncovered. The analysis uses graphs of the levels of the variables and an assessment of the variables using a vector autoregression and impulse response functions. Volume and open interest temporarily increased, whereas the increase in effective bid‐ask spread is more permanent. This seems to be due to the sensitivity that each of the variables develops to volatility as a result of these information shocks. © 1999 John Wiley & Sons, Inc. Jrl Fut Mark 19: 1–29, 1999

Date: 1999
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