اجزای قیمت خرید و فروش متغیر با زمان شاخص معاملات آتی Nikkei -225 در SIMEX

This paper investigates the time-varying behavior of the bid–ask spread components of Nikkei 225 index futures contract on the Singapore International Monetary Exchange (SIMEX). Using the Huang and Stoll [Journal of Financial Economics 41 (1996) 313] trade indicator model, intraday transaction data is analyzed for the period 1993 to 1996. The empirical results support the presence of a large inventory holding cost (63.39%) and a smaller adverse information cost (3.70%). Time-varying analyses show an L-shaped pattern of the adverse information costs and reversed U-shaped pattern of the inventory holding costs during a day. Moreover, for the last 15 min when only the SIMEX is open (Tokyo Stock Exchange (TSE)-nontrading period), there is a relatively large portion of adverse information cost (7.79%).