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

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  • Joseph K. W. Fung
  • Louis T. W. Cheng
  • Kam C. Chan

Abstract

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  • Joseph K. W. Fung & Louis T. W. Cheng & Kam C. Chan, 1997. "The intraday pricing efficiency of Hong Kong Hang Seng Index options and futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 17(7), pages 797-815, October.
    • Handle: RePEc:wly:jfutmk:v:17:y:1997:i:7:p:797-815
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    Cited by:

    1. Joseph K. W. Fung & Henry M. K. Mok & Kenneth C. K. Wong, 2004. "Pricing Efficiency in a Thin Market with Competitive Market Makers: Box Spread Strategies in the Hang Seng Index Options Market," The Financial Review, Eastern Finance Association, vol. 39(3), pages 435-454, August.
    2. Lam, Kin & Lean, Hooi Hooi & Wong, Wing-Keung, 2016. "Stochastic Dominance and Investors’ Behavior towards Risk: The Hong Kong Stocks and Futures Markets," MPRA Paper 74386, University Library of Munich, Germany.
    3. Chin‐Ho Chen & Junmao Chiu & Huimin Chung, 2020. "Arbitrage opportunities, liquidity provision, and trader types in an index option market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(3), pages 279-307, March.
    4. Louis Cheng & Jay White, 2003. "Measuring Pricing Inefficiencies Under Stressful Market Conditions," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 30(3‐4), pages 383-411, April.

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