Relative informational efficiency of cash, futures, and options markets: The case of an emerging market
Article Abstract:
The lead-lag relationships among the spot, futures, and options markets in the Hong Kong's Hang Seng Index were studied and found to be dependent on market maturity.
Publication Name: Journal of Banking & Finance
Subject: Business
ISSN: 0378-4266
Year: 2001
User Contributions:
Comment about this article or add new information about this topic:
Reading PIBOR futures options smiles: The 1997 snap election
Article Abstract:
Research information is given for various methods that extract a Risk Neutral Density out of PIBOR interest rate futures options. In conjunction the research compares how investors react to political events.
Publication Name: Journal of Banking & Finance
Subject: Business
ISSN: 0378-4266
Year: 2001
User Contributions:
Comment about this article or add new information about this topic:
Reading PIBOR futures options smiles: The 1997 snap election
Article Abstract:
This paper investigates information in PIBOR futures options during the 1997 snap election, a period of political uncertainty for financial markets. Using the Hermite polynomials method to extract risk neutral densities, investigation found several levels of uncertainty influenced interest rate increases.
Publication Name: Journal of Banking & Finance
Subject: Business
ISSN: 0378-4266
Year: 2001
User Contributions:
Comment about this article or add new information about this topic:
- Abstracts: Predicting returns with managerial decision variables: is there a small - sample bias? The equity share in new issues and aggregate stock returns
- Abstracts: Income tax planning for the executive with stock options: making the most of a dismal harvest. A renaissance in IRA planning
- Abstracts: A note on trading mechanism and securities' value: The analysis of rejects from continuous trade
- Abstracts: Rising stock markets and rule reforms give pensions a lift- for now
- Abstracts: The accuracy and rationality of earnings forecasts by UK analysts. A comparative analysis of earnings forecasts in Europe