The Nikkei 225 Reconstitution
Posted: 18 Sep 2008
Date Written: March 15, 2007
Abstract
SUBJECT AREAS: Arbitrage, Risk, Risk management, Securities, Stocks.
Taka Haneda, a proprietary trader at the Tokyo office of Goldman Sachs, has just learned that the Nikkei 225 will undergo a significant redefinition over the coming week. He faces several billion dollars of customer orders, as well as the opportunity to commit the firm's capital to provide liquidity for the event. He must decide what positions to establish, and at what price he is willing to get out.
Suggested Citation: Suggested Citation
Greenwood, Robin M., The Nikkei 225 Reconstitution (March 15, 2007). HBS Case No.: 207-109, Available at SSRN: https://ssrn.com/abstract=1270393
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