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by Lee Yui. / Thesis (M.Phil.)--Chinese University of Hong Kong, 1997. / Includes bibliographical references (leaves 70-72). / ACKNOWLEDGMENT --- p.i / ABSTRACT --- p.ii / LIST OF TABLES --- p.iii / LIST OF FIGURES --- p.iv / Chapter CHAPTER 1: --- INTRODUCTION --- p.1 / Chapter CHAPTER 2: --- BACKGROUND INFORMATION --- p.7 / Chapter 2.1 --- Stock Trading in Hong Kong --- p.7 / Chapter 2.1.1 --- History and Recent Trend --- p.8 / Chapter 2.1.2 --- Trading Mechanism of the Stock Exchange of Hong Kong --- p.11 / Chapter 2.1.3 --- Short Sale Restrictions --- p.12 / Chapter 2.1.4 --- Hang Seng Index --- p.14 / Chapter 2.2 --- Hang Seng Index Futures --- p.17 / Chapter 2.2.1 --- History and Recent Trend --- p.18 / Chapter 2.2.2 --- Trading and Settling Methods --- p.22 / Chapter CHAPTER 3: --- LITERATURE REVIEW --- p.24 / Chapter 3.1 --- Studies of Futures Market Efficiency based on Daily Data --- p.24 / Chapter 3.2 --- Studies of Futures Market Efficiency based on Intraday Data --- p.28 / Chapter CHAPTER 4: --- METHODOLOGY --- p.34 / Chapter 4.1 --- Index Futures Efficiency and Arbitrage Profitability --- p.34 / Chapter 4.2 --- Structure of Efficiency Tests --- p.36 / Chapter 4.2.1 --- Test based on Minute by Minute Reported Index --- p.36 / Chapter 4.2.2 --- Ex Post Test based on Transaction Prices of the Constitutent Stocks --- p.37 / Chapter 4.2.3 --- Ex Ante Test --- p.38 / Chapter 4.3 --- An Example for Illustration --- p.39 / Chapter 4.3.1 --- Results of the Efficiency Test based on Reported Index Quotations --- p.40 / Chapter 4.3.2 --- Results of the Ex Post Test based on Transaction Prices --- p.41 / Chapter 4.3.3 --- Results of Ex Ante Test --- p.42 / Chapter 4.4 --- Transaction Costs --- p.43 / Chapter CHAPTER 5: --- DATA AND PRELIMINARY STATISTICS --- p.46 / Chapter 5.1 --- Data from the Stock Market --- p.46 / Chapter 5.2 --- Data from the Futures Market and Money Market --- p.48 / Chapter CHAPTER 6: --- EMPIRICAL RESULTS --- p.49 / Chapter 6.1 --- Frequency of Ex Post Mispricings of Futures Prices --- p.49 / Chapter 6.2 --- Profitability of Hang Seng Index Arbitrage --- p.52 / Chapter 6.2.1 --- Results of Ex Ante Test with an Execution Lag of 30 Seconds --- p.52 / Chapter 6.2.2 --- Results of Ex Ante Test with an Execution Lag longer than 30 Seconds --- p.54 / Chapter 6.3 --- Comparison of Long Arbitrage Profitability and Short Arbitrage Profitability --- p.57 / Chapter 6.3.1 --- Comparison of Ex Post Violations between Long Arbitrage and Short Arbitrage --- p.58 / Chapter 6.3.2 --- Comparison of Ex Ante Profitability between Long Arbitrage and Short Arbitrage --- p.59 / Chapter CHAPTER 7: --- CONCLUSIONS --- p.65 / BIBLIOGRAPHY --- p.70

by Wan Chi-Keung. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1997. / Includes bibliographical references (leaves 33-34). / TABLE OF CONTENTS / ABSTRACT --- p.ii / TABLE OF CONTENTS --- p.iii / LIST OF FIGURES --- p.iv / LIST OF TABLE --- p.v / ACKNOWLEDGEMENT --- p.vi / Chapter / Chapter I. --- INTRODUCTION --- p.1 / Chapter II. --- VOLATILITY SMILE --- p.4 / The Black- Scholes Model --- p.6 / The Implied Tree --- p.7 / The Implied Probability Distribution --- p.10 / Chapter III. --- LITERATURE REVIEW --- p.12 / Chapter IV. --- RECOVERING PROBABILITY DISTRIBUTIONS OF HSI --- p.18 / Shimko's Method --- p.19 / Data Selection --- p.22 / Probability Distributions of HSI --- p.23 / Chapter V. --- CONLUDING REMARKS --- p.27 / APPENDIX --- p.30 / BIBLIOGRAPHY --- p.33

This study examines the effect of the introduction of CSI300 Index Futures on the volatility of the stock market. Taking into account of the existence of the long term trend of diminishing volatility of the Chinese stock market, the difference-in-difference method was used instead of the simple before-and-after method to investigate how the volatility of the constituent stocks changes relative to the non-constituent stocks after the introduction of CSI300 Index Futures. Empirical results revealed that the volatility of the constituent stocks increased as compared with that of non-constituent stocks before and after the inception of the CSI300 Index Futures. The temporal-self comparison for the stocks entered or removed from the CSI300 Index List showed that that the introduction of index futures has a long-term destabilizing effect. / 本文研究滬深300股票指數期貨的推出對我國股票市場波動率的影響。考慮到中國股市長期波動率下降的趨勢的存在,我們用差上差的方法取代了傳統的簡單事前事後比較方法來研究成分股相對于非成分股波動率在滬深300股票指數期貨推出前後是如何變化的。實證結果顯示成分股股票相對于非成分股股票,波動率在滬深300股票指數期貨推出前後實際上是上升的。對於進入或者剔除出滬深300指數名單的股票的實證研究顯示,這種股票不同狀態的自我比較說明對於滬深300股票指數期貨的推出在長期有失穩作用。 / Luo, Shengjie. / Thesis M.Phil. Chinese University of Hong Kong 2014. / Includes bibliographical references (leaves 40-42). / Abstracts also in Chinese. / Title from PDF title page (viewed on 12, October, 2016). / Detailed summary in vernacular field only.

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 / abstract / Business / Master / Master of Philosophy

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