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...

Asian initial public offerings (IPOs) require investors to pay a subscription cost upfront upon submission of an application, and these funds are locked up for one to three weeks without interest. Hence, the IPO process entails an explicit financing cost (opportunity cost) whether investors...

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 time‐intervals across five different moneyness categories of Hong Kong Hang Seng Index (HSI) options. The results show...

On November 20, 1998, the Hong Kong Futures Exchange started opening its markets fifteen minutes earlier than the opening time and closes its markets fifteen minutes later than the closing time of the Hong Kong Stock Exchange. In this paper we utilize the Geweke feedback measures to examine the...

This study examines the intraday trading activities of index stocks on the common expiration day of index derivatives. In Hong Kong, index futures and index options use an Asian‐style settlement procedure. All contracts are settled against the estimated average settlement price, an arithmetic...

Despite the importance of the London markets and the significance of the relationship for market makers, little published research is available on arbitrage between the FTSE‐100 Index futures and the FTSE‐100 European index options contracts. This study uses the put–call–futures parity...

This study examines the information conveyed by options and examines their implied volatility at the time of the 1997 Hong Kong stock market crash. The author determines the efficiency of implied volatility as a predictor of future volatility by comparing it to other leading indicator...

Examination is made of the relative contributions to price discovery of the floor and electronically traded euro FX and Japanese yen futures markets and the corresponding retail on‐line foreign exchange spot markets. GLOBEX electronic futures contracts provide the most price discovery in the...