Stability and lack of memory of the returns of the Hang Seng index
β Scribed by Krzysztof Burnecki; Janusz Gajda; Grzegorz Sikora
- Publisher
- Elsevier Science
- Year
- 2011
- Tongue
- English
- Weight
- 390 KB
- Volume
- 390
- Category
- Article
- ISSN
- 0378-4371
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π SIMILAR VOLUMES
## Abstract We use the net buying pressure hypothesis of N. P. B. Bollen and R. Whaley (2004) to examine the implied volatilities, options premiums, and options trading profits at various timeβintervals across five different moneyness categories of Hong Kong Hang Seng Index (HSI) options. The resul
and the referees for helpful comments. 'Financial futures trading reduces the cost of entry of small traders into the financial markets [Kamara (1988)l. Introducing new speculators into the markets improves risk sharing and increases liquidity, but can make cash prices more noisy and reduce net soci
The S&P 500 futures price is referred to as the futures price. All prices are recorded at Eastern Standard Time. S&P's monthly "500 Information Bulletin" reports an opening price for the S&P 500 index. However, this price is the index price recorded one minute after the NYSE opens and contains many