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Hedging efficiency in the Greek options market before and after the financial crisis of 2008

โœ Scribed by Shackleton, Mark B.; Voukelatos, Nikolaos

Book ID
121318639
Publisher
Elsevier Science
Year
2013
Tongue
English
Weight
450 KB
Volume
23
Category
Article
ISSN
1042-444X

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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