The information content of option implied volatility surrounding the 1997 Hong Kong stock market crash
Article Abstract:
The study of market volatility during the 1997 Hong Kong stock market crash, based on the options pricing information pertaining to the said period, is presented.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 2007
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Price discovery in the foreign exchange futures market
Article Abstract:
A comparative analysis of the EuroFX, Japanese yen and Chicago Mercantile Exchange, with regard to their price discovery of currency futures, are presented.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 2006
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Intraday price-reversal patterns in the currency futures market: the impact of the introduction of GLOBEX and the euro
Article Abstract:
Impact of euro on the price reversals of currency derivatives in the Chicago Mercantile Exchange from 1988 to 2003 is examined.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 2006
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