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

Article Abstract:

The Hong Kong Hang Seng index futures and options markets are price- efficient during the 1993-1994 sample period as average arbitrage profits do not exceed trading costs under a mispricing strategy. In 853 transactions involving futures, call and put contracts conducted within a 1-minute gap in 1993-1994, 91.44% of all transactions in the ex post test did not profit well despite the assumed 33.2 points. The division of hedge strategies further indicates that better arbitrage opportunities can be gained from the long hedge strategy.

Evaluation, Hong Kong, Securities, Stock price forecasting

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Index futures and options and stock market volatility

Article Abstract:

The introduction of index futures and options affects the conditional and unconditional variance of a stock market. An analysis of weekly returns shows that unconditional variance decreased during post-futures era. On the other hand, the unconditional variance of daily stock index returns increased after the flexible-exchange-rate regime upon the introduction of currency, interest rates futures contracts and individual stock options.

Stock index futures, Stock index options

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Net Buying Pressure, volatility smile, and abnormal profit of Hang Seng Index options

Article Abstract:

The impact of options buying pressure on options premiums and options trading profits is examined. It is concluded that net buying pressure in institutional investors hedging activities drive prices of out-of-the-money index options.

United States, Options (Finance), Institutional investments

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