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An empirical analysis of the performance of HSI options trading.

by Fung Lai-sang & Kwan Tat-shing. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1995. / Includes bibliographical references (leaves 60-64). / ABSTRACT --- p.ii / TABLE OF CONTENTS --- p.iii / LIST OF FIGURES --- p.v / LIST OF TABLES --- p.vi / ACKNOWLEDGMENT --- p.vii / Chapter / Chapter I. --- INTRODUCTION --- p.1 / Chapter II. --- HANG SENG INDEX OPTIONS --- p.3 / Hong Kong Futures Exchange Limited --- p.3 / Hang Seng Index --- p.4 / Basic Characteristics of HSI Options --- p.5 / Chapter III. --- LITERATURE REVIEW --- p.8 / (A) Put-Call Parity --- p.8 / Put-Call Parity on Other Security --- p.10 / Empirical Studies --- p.11 / Put-Call-Futures Parity --- p.12 / (B) Applicability of Black-Scholes Model --- p.14 / Possible Biases in Black-Scholes Model --- p.16 / (C) Hedging Effectiveness of Derivative Instruments --- p.18 / Empirical Evidence --- p.20 / Chapter IV. --- "EMPIRICAL METHODOLOGY, DATA EMPLOYED AND EMPIRICAL FINDINGS" --- p.22 / Chapter (A) --- Methodology and Data Employed in Investigation of Put-Call Parity for HSI Options --- p.22 / Empirical Findings for Put-Call Pariry for HSI Options --- p.26 / Chapter (B) --- Methodology anf Data Employed in Investigation of Applicability of Black-Scholes Model - An Implied Volatility Approach --- p.30 / Empirical Findings for Applicability of Black Scholes Model --- p.35 / Chapter (C) --- Methodology anf Data Employed in Investigation of the Hedging Effectiveness of Different Derivative Instrument / Methodology --- p.40 / Empirical Findings for Hedging Effectiveness of Different Derivative Instruments --- p.45 / Chapter V. --- "CONCLUSIONS, RECENT DEVELOPMENTS AND TRENDS OF HSI OPTIONS" --- p.48 / Conclusions --- p.48 / International Status --- p.49 / Work to Be Done --- p.50 / APPENDICES --- p.51 / BIBLIOGRAPHY --- p.60

Identiferoai:union.ndltd.org:cuhk.edu.hk/oai:cuhk-dr:cuhk_318265
Date January 1995
ContributorsFung, Lai-sang., Kwan, Tat-shing., Chinese University of Hong Kong Graduate School. Division of Business Administration.
PublisherChinese University of Hong Kong
Source SetsThe Chinese University of Hong Kong
LanguageEnglish
Detected LanguageEnglish
TypeText, bibliography
Formatprint, vii, 64 leaves ; 30 cm.
CoverageChina, Hong Kong, China, 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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