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Order imbalance and the pricing of index futures

Fung, Joseph K. W. - In: The journal of futures markets 27 (2007) 7, pp. 697-717

Persistent link: https://www.econbiz.de/10003493150

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

Cheng, Louis T. W.; Fung, Joseph K. W.; Chan, Kam C. - In: The journal of futures markets 20 (2000) 2, pp. 145-166

Persistent link: https://www.econbiz.de/10001447775

Early unwinding of options-futures arbitrage with bid-ask quotations and transaction prices

Fung, Joseph K. W.; Mok, Henry M. K. - In: Global finance journal 14 (2003) 2, pp. 121-133

Persistent link: https://www.econbiz.de/10001763776

A study of abitrage efficiency between the FTSE-100 Index futures and options contracts

Draper, Paul R.; Fung, Joseph K. W. - In: The journal of futures markets 22 (2002) 1, pp. 31-58

Persistent link: https://www.econbiz.de/10001646594

How electronic trading affects bid-ask spreads and arbitrage efficiency between index futures and options

Cheng, Kevin H. K.; Fung, Joseph K. W.; Tse, Yiuman - In: The journal of futures markets 25 (2005) 4, pp. 375-398

Persistent link: https://www.econbiz.de/10002647868

Covered interest arbitrage profits : the role of liquidity and credit risk

Fong, Wai-ming; Valente, Giorgio; Fung, Joseph K. W. - In: Journal of banking & finance 34 (2010) 5, pp. 1098-1107

Persistent link: https://www.econbiz.de/10003971367

Efficiency of single-stock futures : an intraday analysis

Fung, Joseph K. W.; Tse, Yiuman - 2007

Persistent link: https://www.econbiz.de/10003682741

Order imbalance and the dynamics of index and futures prices

Fung, Joseph K. W.; Yu, Philip L. H. - In: The journal of futures markets 27 (2007) 12, pp. 1129-1157

Persistent link: https://www.econbiz.de/10003627158

Efficiency of single-stock futures : an intraday analysis

Fung, Joseph K. W.; Tse, Yiuman - In: The journal of futures markets 28 (2008) 6, pp. 518-536

Persistent link: https://www.econbiz.de/10003714981

Order Imbalance and the Dynamics of Index and Futures Prices

Fung, Joseph K. W. - 2007

This study uses transaction records of index futures and the index stocks, with bid/ask price quotes, to examine the impact of stock market order imbalance on the dynamic behavior of index futures and cash index prices. Spurious correlation in the index is purged by using an estimate of the...

Persistent link: https://www.econbiz.de/10012729389