The Osaka Securities Exchange (OSE) halts Nikkei 225 index-futures trading when the next transaction is to take place at a price more than ¥30 (prior to February 1994) or ¥60 (from February 1994) away from the previous trading price. This paper examines the efficacy of the intraday price limit rule in terms of price discovery, liquidity and volatility. We also include transaction data from the Singapore International Monetary Exchange (SIMEX) where Nikkei futures are traded simultaneously. The intraday price limit rule generally appears to be ineffective in reducing volatility and avoiding price jumps, at least partly because OSE traders have access to the alternative market at SIMEX.

Additional Metadata
Keywords G14, G15, Nikkei futures, Price discovery, Trading halts
Persistent URL dx.doi.org/10.1016/S0927-538X(01)00023-3, hdl.handle.net/1765/72725
Journal Pacific Basin Finance Journal
Citation
Martens, M.P.E, & Steenbeek, O.W. (2001). Intraday trading halts in the Nikkei futures market. Pacific Basin Finance Journal, 9(5), 535–561. doi:10.1016/S0927-538X(01)00023-3