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
| Identifer | oai:union.ndltd.org:cuhk.edu.hk/oai:cuhk-dr:cuhk_319119 |
| Date | January 1993 |
| Contributors | Fung, Wing Tsan., Chinese University of Hong Kong Graduate School. Division of Economics. |
| Publisher | Chinese University of Hong Kong |
| Source Sets | The Chinese University of Hong Kong |
| Language | English |
| Detected Language | English |
| Type | Text, bibliography |
| Format | print, v, 133 leaves : ill. ; 30 cm. |
| Coverage | China, Hong Kong |
| Rights | Use 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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