Wong Hau Man, Ben. / Thesis (M.Phil.)--Chinese University of Hong Kong, 1994. / Includes bibliographical references (leaves 85-89). / Abstract / Acknowledgment / Chapter Chapter 1. --- Introduction --- p.1 / Chapter Chapter 2. --- Introduction to the Hang Seng Index Futures Market --- p.9 / Chapter Chapter 3. --- Dynamic Efficiency --- p.17 / Chapter 3.1 --- The Potential Lead/Lag Relationship between the Stock Index Futures price and the Stock Index --- p.18 / Chapter 3.2 --- Empirical Evidence of the Lead/Lag Relationship -the US experience --- p.20 / Chapter 3.3 --- Granger and Engle's Error-Correction Model --- p.21 / Chapter 3.4 --- Error-Correction Model for the Hang Seng Index Futures Price and Hang Seng Index --- p.25 / Chapter 3.5 --- Simultaneous Error-Correction Model --- p.30 / Chapter Chapter 4. --- Price Volatility --- p.38 / Chapter 4.1 --- Why Volatility Matters --- p.38 / Chapter 4.2a --- Theoretical Foundation of the relationship between Futures Trading and Cash Market Volatility --- p.39 / Chapter 4.2b --- Empirical Evidence of Futures Trading and Cash Market Volatility - the US experience --- p.40 / Chapter 4.3 --- The Schwert Estimation Method --- p.42 / Chapter 4.4 --- Hang Seng Index Volatility and Cash Market Trading Volume --- p.47 / Chapter 4.5 --- Hang Seng Index Volatility and Futures Trading Activities --- p.48 / Chapter 4.6 --- Hang Seng Index Volatility and Contract Life Cycle --- p.50 / Chapter Chapter 5. --- Margin Policy --- p.56 / Chapter 5.1 --- The Economic Role of Futures Margin --- p.57 / Chapter 5.2a --- Theoretical Foundation of the relationship between Margin Requirement and Futures Volatility --- p.58 / Chapter 5.2b --- Empirical Evidence of Margin Requirement and Price Volatility --- p.59 / Chapter 5.3 --- HSI Futures Margin Requirement and Probability of Exhaustion --- p.61 / Chapter 5.4 --- HSI Futures Margin Requirement and HSI Futures Volatility --- p.64 / Chapter 5.4a --- Event-Study Approach --- p.64 / Chapter 5.4b --- Alternative Method --- p.66 / Chapter 5.5 --- HSI Futures Leverage and Price Volatility --- p.70 / Chapter Chapter 6. --- Conclusions --- p.81 / REFERENCES --- p.85 / APPENDIX 1. - Data Description --- p.90 / APPENDIX 2. - FIGURES --- p.92 / Chapter - --- Figure 1. Trend of HSI from May 86 to Dec93 --- p.93 / Chapter - --- Figure 2. Trend of HSI Futures Price from May 86 to Dec93 --- p.94 / Chapter - --- Figure 3. Volatility of HSI from May 86 to Dec93 --- p.95 / Chapter - --- Figure 4. HSI Futures Margin and Futures Volatility (Futures volatility is measured in daily change in contracts value) --- p.96

by Lam Chi-keung, Wallace, Ng Kim-hung. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1995. / Includes bibliographical references (leaves 41-44). / ABSTRACT --- p.iii / ACKNOWLEDGEMENTS --- p.iv / TABLE OF CONTENTS --- p.v / LIST OF TABLES --- p.vi / LIST OF FIGURES --- p.vii / LIST OF APPENDICES --- p.viii / CHAPTER / INTRODUCTION --- p.1 / DEVELOPMENT OF METHODOLOGY --- p.7 / cost-of-carry model --- p.7 / Stock Index Futures --- p.9 / Borrowing and Lending Rates --- p.12 / Transaction Costs --- p.13 / Calendar Spread in Stock Index Futures --- p.15 / Discrete Dividend --- p.15 / Futures Spread --- p.16 / SCOPE OF STUDY --- p.18 / Spread and Discrepancy --- p.18 / Trading Rule --- p.18 / Predicting Market Price by Equilibrium Futures Price --- p.21 / DATA --- p.22 / RESULTS --- p.26 / Descriptive Statistics --- p.26 / Stimulated Trading Rule --- p.27 / Regression Analysis --- p.28 / CONCLUSION AND DISCUSSION --- p.29 / APPENDIX --- p.31 / BIBLIOGRAPHY --- p.38

Study project (MBA)--University of Stellenbosch, 2003. / ENGLISH ABSTRACT: In a rational efficiently functioning market, the price of the share index and share index futures contracts should be perfectly contemporaneously correlated. According to the cost of carry model, the futures price should equal its fair value at maturity. The basis should be equal to the cost of carry throughout the duration of the futures contract. However, in practice the cost of carry model is obscured and the basis varies and is normally not equal to the cost of carry. Reasons for this variability in basis include the mark-to-market requirement of the futures contract, the differential tax treatment of spot and futures contracts, as well as the transaction cost of entering into a contract. Transaction costs are lower for futures contracts than for spot contracts. This study uses the Chen, Cuny and Haugen (1995) model to examine the relationship between the basis and volatility of the underlying index and between the open interest of the futures contract and the volatility of the underlying index. Chen et al. (1995) predicted that the basis is negatively related to the volatility of the underlying index and that the open interest is positively related to the volatility of the underlying index. The study will also test the statement by Helmer and Longstaff (1991) that the basis has a negative concave relationship with the level of interest rate. The tests were performed on data from ALSI, FINI and INDI futures contracts. The sample period was from January 1998 to December 2001. The results correspond to those obtained by Chen et al. (1995) in that the basis is negatively related to the volatility of the underlying index. This is true for all the three indices. The other main prediction of the Chen, Cuny and Haugen (CCH) model (1995), which is also supported by the study, is that open interest is significantly related to the volatility of the underlying index. The study also supports the statement by Helmer and Longstaff (1991) that the there is a highly significant negative concave relationship between the basis and interest rate. / AFRIKAANSE OPSOMMING: In "n mark wat rasioneel funksioneer, behoort die prys van die aandele-indeks en aandele-indekstermynkontrakte perfek gekorreleer te wees in tyd. Volgens die drakostemodel behoort die termynkontrakprys op die vervaldatum gelyk te wees aan die billike waarde daarvan. Die basis behoort vir die looptyd van die termynkontrak gelyk te wees aan die drakoste. In die praktyk word die drakostemodel egter vertroebel en wissel die basis en is dit gewoonlik nie gelyk aan die drakoste nie. Redes vir hierdie veranderlikheid van die basis sluit in die waardasie teenoor markprys van die termynkontrak, die belasting van toepassing op loko- en termynkontrakte, asook die transaksiekoste by die aangaan van "n kontrak. transaksiekoste vir termynkontrakte is laer as vir lokokontrakte. Hierdie studie gebruik die model van Chen, Cuny en Haugen (1995) om die verwantskap tussen die basis en die volatiliteit van die onderliggende indeks en tussen die oop kontrakte van die termynkontrak en die volatiliteit van die onderliggende indeks te ondersoek. Chen et al. (1995) voer aan dat daar 'n negatiewe verwantskap is tussen die basis en die volatiliteit van die onderliggende indeks en dat daar "n positiewe verwantskap is tussen die oop rente en die volatiliteit van die onderliggende indeks. Die studie toets ook Helmer en Longstaff (1991) se hipotese dat daar 'n negatiewe, konkawe verhouding tussen die basis en die rentekoersvlak bestaan. Die toetse is uitgevoer op data van ALSI-, FINI- EN INDItermynkontrakte. Die steekproef was van Januarie 1998 tot Desember 2001. Die resultate stem ooreen met dié van Chen, Cuny en Haugen (1995) se model (CCH-model) in dié opsig dat daar "n negatiewe verband is tussen die basis en die volatiliteit van die onderliggende indeks. Dit geld vir al drie die indekse. Die ander hoofresultate van Chen et al. (1995), wat ook deur die studie ondersteun word, is dat daar "n beduidende verband tussen die oop kontrakte en die volatiliteit van die onderliggende indeks bestaan. Die studie ondersteun ook Helmer en Longstaff(1991) se siening dat daar 'n beduidende, negatiewe, konkawe verhouding tussen die basis en die rentekoers bestaan.

published_or_final_version / Business Administration / Master / Master of Business Administration

published_or_final_version / Statistics and Actuarial Science / Master / Master of Philosophy

No description available.

No description available.

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Cheung, Kwan Hung Edwin. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2010. / Includes bibliographical references (leaves 39-40). / Abstracts in English and Chinese. / Chapter 1 --- Introduction --- p.1 / Chapter 2 --- The Levy Process --- p.4 / Chapter 2.1 --- Levy-Khintchine representation --- p.5 / Chapter 2.2 --- Variance Gamma process --- p.6 / Chapter 3 --- Minimum-Variance Static Hedge with Index futures --- p.8 / Chapter 3.1 --- Capital Asset Pricing Model with static hedge --- p.10 / Chapter 3.2 --- Continuous CAPM under Levy process --- p.11 / Chapter 4 --- Option pricing under Levy process --- p.15 / Chapter 4.1 --- Option pricing under the fast Fourier transform --- p.16 / Chapter 4.2 --- The modified fast Fourier transform on call option price --- p.19 / Chapter 5 --- Empirical Results --- p.23 / Chapter 5.1 --- Proposed model for empirical studies --- p.25 / Chapter 5.2 --- Calibration Procedure and Estimates of Betas --- p.26 / Chapter 5.3 --- Hedging performance of Betas --- p.32 / Chapter 6 --- Conclusion --- p.37 / Bibliography --- p.39

This thesis investigates the pricing relationship between the FTSE 100 Stock Index and the FTSE 100 Stock Index futures market. We develop and apply a framework in which it is possible to evaluate whether or not markets can be said to function effectively and efficiently. The framework is applied to both the daily and intra-daily pricing relationship between the aforementioned markets. In order to analyse the pricing relationship within days, we develop a new method to remove the effects of nonsynchronous trading from the FTSE 100 Index. We find that on a daily basis the markets generally function effectively, although this does not carryover to the intra-daily pricing relationship. This is especially true during the October 1987 stock market crash, where it is argued that a possible cause of the breakdown lies with the stock market. If this is the case, then any regulation should be aimed at the stock market, not the stock index futures market.