The Nikkei 225 Futures of the Osaka Stock Exchange Are Bullish When the Available Liquidity on the Ask Side Is Deeper

摘要

This paper performs regression of session returns of the Nikkei 225 Futures in the Osaka Securities Exchanges on a suitable average of the logarithmic difference of the depths at the best and the second best bid and ask prices. The results support the proverb in Japan which tells that markets are bullish (bearish) when the available liquidity on the ask side (bid side) is deeper.