Relative informational efficiency of cash, futures, and options markets: The case of an emerging market

Autor:	Raymond Chiang, Wai-Ming Fong
Rok vydání:	2001
Předmět:	Economics and Econometrics Financial economics Dominance (economics) Cash media_common.quotation_subject Economics Forward market Futures market Emerging markets Futures contract Finance media_common
Zdroj:	Journal of Banking & Finance. 25:355-375
ISSN:	0378-4266
DOI:	10.1016/s0378-4266(99)00127-2
Popis:	We study the lead‐lag relationships among the spot, futures, and options markets on Hong Kong’s Hang Seng Index (HSI). The young options market experiences thin trading, and the option returns lag the cash index returns. The more mature futures market experiences active trading. Yet its lead over the cash index appears to be less than the counterparts in other countries. A possible reason is the dominance of a few major stocks in the index; and these stocks have symmetric lead‐lag relations with the futures. Furthermore, the informativeness of the non-lasting futures and options quotations seems to depend on the market maturity. ” 2001 Elsevier Science B.V. All rights reserved.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::b5e2cc82f34f89c5e6d125a392f8797a https://doi.org/10.1016/s0378-4266(99)00127-2 Zobrazit plný text záznamu Full Text from ScienceDirect