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

被引:0
|
作者
Fung, JKW
Cheng, LTW
Chan, KC
机构
[1] MURRAY STATE UNIV,MURRAY,KY
[2] UNIV WISCONSIN PARKSIDE,KENOSHA,WI 53141
关键词
D O I
10.1002/(SICI)1096-9934(199710)17:7<797::AID-FUT4>3.0.CO;2-I
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
[No abstract available]
引用
收藏
页码:797 / 815
页数:19
相关论文
共 50 条
  • [1] Hong Kong unrest and implications for the Hang Seng Index
    Morales, Lucia
    Andreosso-O'Callaghan, Bernadette
    [J]. JOURNAL OF THE ASIA PACIFIC ECONOMY, 2019, 24 (01) : 82 - 96
  • [2] Improved Maximum Likelihood Estimation of Heston Model and Pricing Efficiency Test: Hong Kong Hang Seng Index Option
    Wang, Huan
    Song, Bin
    Guo, Dongmei
    [J]. MATHEMATICAL PROBLEMS IN ENGINEERING, 2016, 2016
  • [3] Price discovery in the Hang Seng Index markets: Index, futures, and the tracker fund
    So, RW
    Tse, YM
    [J]. JOURNAL OF FUTURES MARKETS, 2004, 24 (09) : 887 - 907
  • [4] Multifractal analysis of Hang Seng index in Hong Kong stock market
    Sun, X
    Chen, HP
    Wu, ZQ
    Yuan, YZ
    [J]. PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, 2001, 291 (1-4) : 553 - 562
  • [5] Predictability of multifractal analysis of Hang Seng stock index in Hong Kong
    Sun, X
    Chen, HP
    Yuan, YZ
    Wu, ZQ
    [J]. PHYSICA A, 2001, 301 (1-4): : 473 - 482
  • [6] DO SMALL TRADERS CONTRIBUTE TO PRICE DISCOVERY? EVIDENCE FROM THE HONG KONG HANG SENG INDEX MARKETS
    Tao, Libin
    Song, Frank M.
    [J]. JOURNAL OF FUTURES MARKETS, 2010, 30 (02) : 156 - 174
  • [7] The distribution and scaling of fluctuations for Hang Seng index in Hong Kong stock market
    Wang, BH
    Hui, PM
    [J]. EUROPEAN PHYSICAL JOURNAL B, 2001, 20 (04): : 573 - 579
  • [8] The distribution and scaling of fluctuations for Hang Seng index in Hong Kong stock market
    B.H. Wang
    P.M. Hui
    [J]. The European Physical Journal B - Condensed Matter and Complex Systems, 2001, 20 (4): : 573 - 579
  • [9] Intraday price reversals for index futures in the US and Hong Kong
    Fung, AKW
    Mok, DMY
    Lam, K
    [J]. JOURNAL OF BANKING & FINANCE, 2000, 24 (07) : 1179 - 1201
  • [10] Pricing dynamics of index options and index futures in Hong Kong before and during the Asian financial crisis
    Cheng, LTW
    Fung, JKW
    Chan, KC
    [J]. JOURNAL OF FUTURES MARKETS, 2000, 20 (02) : 145 - 166