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The impact of financial crisis on the inter-market arbitrage efficiency between stock futures and the underlying stocks

Chiang, Raymond C. P. (contributor); … - 2003

Persistent link: https://www.econbiz.de/10001969222

The information content of option implied volatility surrounding the 1997 Hong Kong stock market crash

Fung, Joseph K. W. - In: The journal of futures markets 27 (2007) 6, pp. 555-574

Persistent link: https://www.econbiz.de/10003493107

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

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

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