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The intraday pricing efficiency of Hong Kong Hang Seng Index options and futures markets

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

Publisher
John Wiley and Sons
Year
1997
Tongue
English
Weight
195 KB
Volume
17
Category
Article
ISSN
0270-7314

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๐Ÿ“œ SIMILAR VOLUMES

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

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