✦ LIBER ✦

Discretionary government intervention and the mispricing of index futures

✍ Scribed by Paul Draper; Joseph K. W. Fung

Publisher: John Wiley and Sons
Year: 2003
Tongue: English
Weight: 188 KB
Volume: 23
Category: Article
ISSN: 0270-7314
DOI: 10.1002/fut.10107

No coin nor oath required. For personal study only.

✦ Synopsis

Abstract

This article examines how and to what extent direct market intervention by the Hong Kong government in both the stock and futures markets affected
the pricing relationship between the Hang Seng Index futures and the cash index during the period of the Asian financial crisis. The study avoids
infrequent trading and nonexecution problems by using tradeable bid and offer quotes for the constituent stocks of the index. The results show that
arbitrage efficiency was impeded during, and in the immediate aftermath of, the intervention. The findings suggest that discretionary government action
introduces an additional risk factor for arbitrageurs that continues to disrupt normal market processes even after the government ceases to intervene.
The continued disruption following the government's actions in the market also stems from a poorly developed stock loan market that impedes short
selling, as well as a lack of liquidity in the market. © 2003 Wiley Periodicals, Inc. Jrl Fut Mark 23:1159–1189, 2003

📜 SIMILAR VOLUMES

Mispricing of index futures contracts an

Mispricing of index futures contracts and short sales constraints

✍ Fung, Joseph K. W.; Draper, Paul 📂 Article 📅 1999 🏛 John Wiley and Sons 🌐 English ⚖ 227 KB

This article examines if changes in short sales constraints affect the extent to which index futures contracts are mispriced. In particular, the study analyzes the mispricing of the Hong Kong Hang Seng Index futures contracts. Tests are conducted over three distinct regulatory regimes relating to th

Xi Jinping's Governance and the Future of China

✍ Xi, Jinping;Zhou, Xinmin 📂 Fiction 📅 2017 🏛 Skyhorse Publishing 🌐 English ⚖ 100 KB

Over the past few years, growing changes have quietly begun to reshape China under the governance of Xi Jinping. President Xi has developed his philosophical thinking on governing into a system to address the pressing issues of China, to develop and improve Chinese socialism, and to achieve moderniz

The pricing of stock index futures

✍ Bradford Cornell; Kenneth R. French 📂 Article 📅 1983 🏛 John Wiley and Sons 🌐 English ⚖ 840 KB

he prices observed for stock index futures have surprised both academics and T practitioners. The price structure, which gives the relation between the futures and spot prices as a function of the time to maturity, is generally flatter than simple arbitrage models predict. In fact, the futures price

Order imbalance and the pricing of index

Order imbalance and the pricing of index futures

✍ Joseph K.W. Fung 📂 Article 📅 2007 🏛 John Wiley and Sons 🌐 English ⚖ 167 KB

## Abstract This study examines whether the aggregate order imbalance for index stocks can explain the arbitrage spread between index futures and the underlying cash index. The study covers the period of the Asian financial crisis and includes wide variations in order imbalance and the indexfutures

The pricing of municipal bond index futu

The pricing of municipal bond index futures

✍ Thomas R. Hamilton; Scott E. Hein; Timothy W. Koch 📂 Article 📅 1994 🏛 John Wiley and Sons 🌐 English ⚖ 956 KB

## Smith, Hol Toles, and anonymous referees are gratefully acknowledged. We also acknowledge the valuable research assistance of Terrance Jalbert. Finally, we wish to thank Bill McLaughlin and The Bond Buyer for supplying us with the underlying municipal security prices used in this study.

The pricing of dollar index futures cont

The pricing of dollar index futures contracts

✍ T. Hanan Eytan; Giora Harpaz; Steven Krull 📂 Article 📅 1988 🏛 John Wiley and Sons 🌐 English ⚖ 637 KB

Index (USDX) is a geometric weighted average of ten T major foreign exchange (FX) rates, expressed in index form relative to the geometric weighted average of March 1973 (the base).\* Formally, if we denote by Si and Bi the spot FX rates of country i expressed in "American terms" (U.S. dollars per f