Mispricing of index futures contracts and short sales constraints

Article Abstract:

The removal of restrictions on short selling creates substantial benefits to index markets, as shown by a regression analysis conducted on the Hong Kong Hang Seng Index futures contracts. By analyzing index futures contracts in three regulatory regimes, it was found that lifting the constraints on short selling tends to reduce the extent of futures mispricing. Results further confirmed the positive impact of various economic factors including time-to-maturity, trading cost, market volatility and dividend payout rates. These evidences imply that federal reserve regulators may try relaxing short selling restrictions in the event of long-hedge periods to enable market players to adjust effectively to changes. Ex-ante tests further prove that achieving profitable arbitrage may be made possible in markets which exhibit very fast response times.

Securities and Commodity Exchanges, Security and commodity exchanges, Securities Exchanges, Economic aspects, Laws, regulations and rules, Prices and rates, Stocks, Exchanges, Futures, Stock index futures

---

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

Article Abstract:

The effects of switching to electronic trading on the pricing efficiency of futures and options are examined based on the Hang Sang Index futures and options contracts traded on the Hong Kong exchange.

Hong Kong, Options (Finance), Futures market, Futures markets, Electronic trading (Securities), Online securities trading

---

Similar abstracts:

• Abstracts: M & As rolling again. The figures that count. KordaMentha
• Abstracts: Bid-ask spreads, volatility, quote revisions, and trades of thinly traded futures contracts. Discretionary government intervention and the mispricing of index futures
• Abstracts: Determinants of the relative price impact of unanticipated information in U.S. macroeconomic releases. The jump component of the volatility structure of interest rates future markets: an international comparison

This website is not affiliated with document authors or copyright owners. This page is provided for informational purposes only. Unintentional errors are possible.