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Dynamic Hedging Effectiveness in South Korean Index Futures and the Impact of the Asian Financial Crisis

โœ Scribed by Ah-Boon Sim; Ralf Zurbruegg

Book ID
110346796
Publisher
Springer
Year
2001
Tongue
English
Weight
126 KB
Volume
8
Category
Article
ISSN
1573-6946

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Pricing dynamics of index options and in
Pricing dynamics of index options and index futures in Hong Kong before and during the Asian financial crisis
โœ Cheng, Louis T. W.; Fung, Joseph K. W.; Chan, Kam C. ๐Ÿ“‚ Article ๐Ÿ“… 2000 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 206 KB ๐Ÿ‘ 1 views

This article studies the impact of the Asian financial crisis on index options and index futures markets in Hong Kong. We employed a time-stamped transaction data set of the Hang Seng Index options and futures contracts that were traded on the Hong Kong Futures Exchange. The results show that during