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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
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.
Journal: Journal of Financial Research 
ISSN: 0270-2592
DOI: 10.1111/j.1475-6803.2006.00165.x
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