This paper studies the influence on the Japanese stock (cash and futures) markets of the Nikkei put warrants which were traded in Toronto and New York from February 1989 to April 1993. Implied changes in the Japanese prices based on the previous days’ North American warrant prices are compared to the actual price changes. Special attention is placed on the period from January 1990 to August 1992 when the Japanese stock market had a major decline.

This paper studies the influence on the Japanese stock (cash and futures) markets of the Nikkei put warrants which were traded in Toronto and New York from February 1989 to April 1993. Implied changes in the Japanese prices based on the previous days’ North American warrant prices are compared to the actual price changes. Special attention is placed on the period from January 1990 to August 1992 when the Japanese stock market had a major decline. / Business, Sauder School of / Graduate

Ho Kin Fai. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2004. / Includes bibliographical references (leaves 71-73). / Abstracts in English and Chinese. / Chapter 1 --- Introduction --- p.1 / Chapter 1.1 --- Background --- p.1 / Chapter 1.2 --- Motivation --- p.3 / Chapter 1.3 --- Chapter Layout --- p.5 / Chapter 1.4 --- Summary --- p.7 / Chapter 2 --- Literature Review --- p.11 / Chapter 2.1 --- Implied Asset Return Distribution --- p.13 / Chapter 2.2 --- The Jarrow-Rudd Skewness and Kurtosis-Adjusted Model --- p.16 / Chapter 2.3 --- Implied Moments in Asset Return Distribution --- p.24 / Chapter 2.4 --- Summary --- p.26 / Chapter 3 --- Methodology --- p.28 / Chapter 3.1 --- Application to the Nikkei Index Options --- p.28 / Chapter 3.2 --- In-Sample Parameters Estimation --- p.31 / Chapter 3.3 --- Out-Sample Prediction Error Evaluation --- p.34 / Chapter 3.4 --- Time-Series Movements of Higher Moments --- p.35 / Chapter 3.5 --- Summary --- p.37 / Chapter 4 --- Empirical Results --- p.38 / Chapter 4.1 --- In-Sample Parameters Estimation --- p.38 / Chapter 4.2 --- The Out-Sample Prediction Error Evaluation --- p.43 / Chapter 4.3 --- Time Series Movements of Higher Moments --- p.45 / Chapter 4.4 --- Implications --- p.55 / Chapter 4.5 --- Summary --- p.57 / Chapter 5 --- Conclusions --- p.59 / Chapter A --- Additional Figures --- p.62