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Volumn 17, Issue 7, 1997, Pages 797-815

The intraday pricing efficiency of hong kong hang seng index options and futures markets

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EID: 0031491484     PISSN: 02707314     EISSN: None     Source Type: Journal    
DOI: 10.1002/(SICI)1096-9934(199710)17:7<797::AID-FUT4>3.0.CO;2-I     Document Type: Article
Times cited : (26)

References (14)
  • 2
    • 77951589680 scopus 로고
    • Hang Seng Index Option: The Efficiency of a New Market
    • Chinese University of Hong Kong
    • Chiang, Raymond, Ho, Richard, and Wong, Eric (1993): "Hang Seng Index Option: The Efficiency of a New Market," working paper, Chinese University of Hong Kong.
    • (1993) Working Paper
    • Chiang, R.1    Ho, R.2    Wong, E.3
  • 3
    • 0000244903 scopus 로고
    • Taxes and the Pricing of Stock Index Futures
    • Cornell, B., and French, K. R. (1983): "Taxes and the Pricing of Stock Index Futures," The Journal of Finance, 38:675-694.
    • (1983) The Journal of Finance , vol.38 , pp. 675-694
    • Cornell, B.1    French, K.R.2
  • 4
    • 0000096077 scopus 로고
    • Valuing Asian and Portfolio Options by Conditioning on the Geometric Mean Price
    • Curran, Michael (1994): "Valuing Asian and Portfolio Options by Conditioning on the Geometric Mean Price," Management Science, 40:1705-1711.
    • (1994) Management Science , vol.40 , pp. 1705-1711
    • Curran, M.1
  • 5
    • 84978558617 scopus 로고
    • On the Arbitrage-Free Pricing Relationship between Index Futures and Index Options: A Note
    • Fung, Joseph K. W., and Chan, Kam C. (1994): "On the Arbitrage-Free Pricing Relationship between Index Futures and Index Options: A Note," The Journal of Futures Markets, 14:957-962.
    • (1994) The Journal of Futures Markets , vol.14 , pp. 957-962
    • Fung, J.K.W.1    Chan, K.C.2
  • 6
    • 0039152585 scopus 로고
    • Intraday Arbitrage Opportunities and Price Behavior of the Hang Seng Index Futures
    • Ho, Y. K. Richard, Fang, Jimmy Zhenmin, and Woo, C. K. (1992): "Intraday Arbitrage Opportunities and Price Behavior of the Hang Seng Index Futures," The Review of Futures Markets, 11:413-430.
    • (1992) The Review of Futures Markets , vol.11 , pp. 413-430
    • Ho, Y.K.R.1    Fang, J.Z.2    Woo, C.K.3
  • 10
    • 84978569960 scopus 로고
    • A Transactions Data Analysis of Arbitrage between Index Options and Index Futures
    • Lee, J. H., and Nayar, N. (1993): "A Transactions Data Analysis of Arbitrage between Index Options and Index Futures," The Journal of Futures Markets, Vol. 13, 889-902.
    • (1993) The Journal of Futures Markets , vol.13 , pp. 889-902
    • Lee, J.H.1    Nayar, N.2
  • 11
    • 0000619934 scopus 로고
    • Index-Futures Arbitrage and the Behavior of Stock Index Futures Prices
    • Mackinlay, A. Craig, and Ramaswamy, Krishna (1988): "Index-Futures Arbitrage and the Behavior of Stock Index Futures Prices," The Review of Financial Studies, 1:137-158.
    • (1988) The Review of Financial Studies , vol.1 , pp. 137-158
    • Mackinlay, A.C.1    Ramaswamy, K.2
  • 12
    • 0000359221 scopus 로고
    • The Relationship between Put and Call Option Price
    • Stoll, H. (1969): "The Relationship between Put and Call Option Price," Journal of Finance, 24, 319-332.
    • (1969) Journal of Finance , vol.24 , pp. 319-332
    • Stoll, H.1
  • 14
    • 84978553630 scopus 로고
    • Stock Index Futures Arbitrage: International Evidence
    • Yadav, P. K., and Pope, Peter F. (1990): "Stock Index Futures Arbitrage: International Evidence," The Journal of Futures Markets, 10:573-603.
    • (1990) The Journal of Futures Markets , vol.10 , pp. 573-603
    • Yadav, P.K.1    Pope, P.F.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.