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The assessment of the behaviour of the basis of hibor futures.

by Low Fung Seong Jenny, Yau Yin. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1999. / Includes bibliographical references (leaves 53). / ABSTRACT --- p.ii / TABLE OF CONTENTS --- p.iv / ACKNOWLEDGMENTS --- p.v / Chapter / Chapter I. --- INTRODUCTION --- p.1 / Chapter II. --- THE HONG KONG MONETARY SYSTEM --- p.3 / Linked Exchange Rate System --- p.3 / Monetary Base --- p.3 / Capital Inflow and Outflow --- p.4 / Interest Rate and the Link --- p.5 / The Interbank Market --- p.9 / Chapter III. --- INTRODUCTION TO HIBOR FUTURES --- p.11 / Background of the HIBOR Futures --- p.12 / Features of Three-Month HIBOR Futures Contract --- p.14 / Futures Quotations and Futures Prices --- p.16 / Delivery and Determination of Final Settlement Prices --- p.17 / Functions of HIBOR Futures Contract --- p.17 / Short Hedge --- p.18 / Long Hedge --- p.20 / Speculation --- p.22 / Chapter IV. --- TEST OF COST OF CARRY RELATIONSHIP FOR HIBOR FUTURES --- p.24 / Cost of carry Relationship --- p.24 / Forward and Futures Prices --- p.27 / Cash Prices versus Futures Prices --- p.27 / Testing the Cost of Carry on Three-month HIBOR Futures Contracts --- p.30 / Collection of Data --- p.30 / Methodology --- p.30 / Findings --- p.31 / Analysis of Findings --- p.35 / Chapter V. --- CONCLUSION --- p.37 / ENDNOTES --- p.38 / APPENDICES --- p.40 / BIBLIOGRAPHY --- p.53

Identiferoai:union.ndltd.org:cuhk.edu.hk/oai:cuhk-dr:cuhk_322444
Date January 1999
ContributorsLow, Fung Seong Jenny., Yau, Yin., Chinese University of Hong Kong Graduate School. Division of Business Administration.
Source SetsThe Chinese University of Hong Kong
LanguageEnglish
Detected LanguageEnglish
TypeText, bibliography
Formatprint, v, 53 leaves : ill. ; 30 cm.
CoverageChina, Hong Kong, China, 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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