A study of the performance of the Hong Kong stock index futures market.

• Other Authors: Fung, Wing Tsan.
• Format: Others
• Language: English
• Published: Chinese University of Hong Kong 1993
• Subjects: Stock index futures; Stock index futures > China > Hong Kong; Stock index futures > Prices
• Online Access: http://library.cuhk.edu.hk/record=b5895771; http://repository.lib.cuhk.edu.hk/en/item/cuhk-319119

Fung Wing Tsan. === Thesis (M.Phil.)--Chinese University of Hong Kong, 1993. === Includes bibliographical references (leaves 130-133). === Abstract --- p.i === Acknowledgment --- p.iii === Chapter Chapter 1 --- INTRODUCTION --- p.1 === Chapter Chapter 2 --- THE PRICING OF STOCK INDEX FUTURES --- p.9 === Chapter I. --- The Theoretical Framework --- p.9 === Chapter II. --- Evidence from the US Markets --- p.17 === Chapter III. --- Evidence from Other Markets --- p.21 === Chapter Chapter 3 --- THE PRICE DISCOVERY ROLE OF FUTURES MARKET --- p.24 === Chapter I. --- The Potential of Lead/Lag Relationship between the Stock Index Futures Price and the Stock Index --- p.24 === Chapter II. --- Empirical Evidence for the Lead/Lag Relationship --- p.27 === Chapter Chapter 4 --- THE HEDGING FUNCTION OF STOCK INDEX FUTURES MARKET --- p.30 === Chapter I. --- The Traditional Approach --- p.31 === Chapter II. --- Working's Speculative Hedge Approach --- p.32 === Chapter III. --- The Risk-Minimizing Approach --- p.33 === Chapter IV. --- The Portfolio Allocation Approach --- p.40 === Chapter Chapter 5 --- AN INTRODUCTION TO THE HANG SENG INDEX FUTURES MARKET --- p.44 === Chapter Chapter 6 --- PRICING EFFICIENCY OF THE HANG SENG INDEX FUTURES MARKET --- p.51 === Chapter I. --- Pricing Efficiency of the Hang Seng Index Futures Market with no Transaction Costs --- p.51 === Chapter II. --- Pricing Efficiency of the Hang Seng Index Futures Market with Transaction Costs --- p.59 === Chapter III. --- The Pattern of the Mispricing Series --- p.66 === Chapter IV. --- Test of Pricing Efficiency using Intraday Prices --- p.70 === Chapter Chapter 7 --- PRICE DISCOVERY ROLE OF THE HANG SENG INDEX FUTURES MARKET --- p.85 === Chapter I. --- The Granger-Causality Test --- p.86 === Chapter II. --- Error-Correction Model and Long-Run Relationship between the Stock Price and the Hang Seng Index Futures Price --- p.93 === Chapter III. --- The Simultaneous-Equation Error-Correction Model --- p.96 === Chapter Chapter 8 --- HEDGING EFFECTIVENESS OF THE HANG SENG INDEX FUTURES MARKET --- p.104 === Chapter I. --- The Effectiveness of Hang Seng Index Futures in Reducing Risks Of Stock Portfolios --- p.104 === Chapter II. --- The Hedged Portfolio as an Alternative to Fixed-Income Asset --- p.115 === Chapter III. --- The Effectiveness of Hang Seng Index Futures in Improving Risk´ؤReturn 'Trade-Off --- p.119 === Chapter Chapter 9 --- conclusion --- p.126 === References --- p.130