Please use this identifier to cite or link to this item: http://hdl.handle.net/10397/17415
Title: Testing the net buying pressure hypothesis during the Asian financial crisis : evidence from Hang Seng Index options
Authors: Chan, KC
Cheng, LTW 
Lung, PP
Issue Date: 2006
Source: Journal of financial research, 2006, v. 29, no. 1, p. 43-62 How to cite?
Journal: Journal of Financial Research 
Abstract: We investigate net buying pressure in the Hong Kong Hang Seng Index options market during the Asian financial crisis from July 1997 to August 1998. Our findings suggest that during this period, the dramatic changes in volatility overwhelmed the dynamics of supply and demand in the options market. The extremely high realized volatility drove market participants' expectations about future market volatility in the early months of the crisis. Findings during the late-crisis, pre-crisis, and post-crisis periods are consistent with the net buying pressure hypothesis.
URI: http://hdl.handle.net/10397/17415
ISSN: 0270-2592
DOI: 10.1111/j.1475-6803.2006.00165.x
Appears in Collections:Journal/Magazine Article

Access
View full-text via PolyU eLinks SFX Query
Show full item record

SCOPUSTM   
Citations

3
Last Week
0
Last month
1
Citations as of Jul 31, 2017

Page view(s)

49
Last Week
5
Last month
Checked on Aug 21, 2017

Google ScholarTM

Check

Altmetric



Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.