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

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

Identiferoai:union.ndltd.org:cuhk.edu.hk/oai:cuhk-dr:cuhk_319119
Date January 1993
ContributorsFung, Wing Tsan., Chinese University of Hong Kong Graduate School. Division of Economics.
PublisherChinese University of Hong Kong
Source SetsThe Chinese University of Hong Kong
LanguageEnglish
Detected LanguageEnglish
TypeText, bibliography
Formatprint, v, 133 leaves : ill. ; 30 cm.
CoverageChina, Hong Kong
RightsUse of this resource is governed by the terms and conditions of the Creative Commons “Attribution-NonCommercial-NoDerivatives 4.0 International” License (http://creativecommons.org/licenses/by-nc-nd/4.0/)

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