Pricing dynamics of index options and index futures in Hong Kong before and during the Asian financial crisis

✍ Scribed by Cheng, Louis T. W.; Fung, Joseph K. W.; Chan, Kam C.

• Publisher: John Wiley and Sons
• Year: 2000
• Tongue: English
• Weight: 206 KB
• Volume: 20
• Category: Article
• ISSN: 0270-7314
• DOI: 10.1002/(sici)1096-9934(200002)20:2<145::aid-fut3>3.0.co;2-g

✦ Synopsis

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 the crisis period, the arbitrage profits, and the standard deviations of these profits increased in both ex-post and ex-ante analyses. In a market turbulent time, market vol