Please use this identifier to cite or link to this item: http://hdl.handle.net/10397/32869
Title: Relative informational efficiency of cash, futures, and options markets: The case of an emerging market
Authors: Chiang, R
Fong, WM
Keywords: Futures
G10
G12
G13
Hang Seng Index
Lead-lag relationships
Options
Issue Date: 2001
Publisher: Elsevier
Source: Journal of banking and finance, 2001, v. 25, no. 2, p. 355-375 How to cite?
Journal: Journal of banking and finance 
Abstract: We study the lead-lag relationships among the spot, futures, and options markets on Hong Kong's Hang Seng Index (HSI). The young options market experiences thin trading, and the option returns lag the cash index returns. The more mature futures market experiences active trading. Yet its lead over the cash index appears to be less than the counterparts in other countries. A possible reason is the dominance of a few major stocks in the index; and these stocks have symmetric lead-lag relations with the futures. Furthermore, the informativeness of the non-lasting futures and options quotations seems to depend on the market maturity.
URI: http://hdl.handle.net/10397/32869
ISSN: 0378-4266
EISSN: 1872-6372
DOI: 10.1016/S0378-4266(99)00127-2
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