			Home About us Contact

Hang Seng Index Futures (hang + seng_index_future)

Distribution by Scientific Domains

Business, Economics, Finance and Accounting	100%

Selected Abstracts

Information content of extended trading for index futures

THE JOURNAL OF FUTURES MARKETS, Issue 9 2004
Louis T. W. Cheng
The recent extension of trading hours for Hang Seng Index Futures provides an opportunity to examine whether extended futures trading contains useful information about spot returns. Using the weighted price contribution measure, we find that pre-open futures trades are associated with significant price discovery. We extend the model from T. Hiraki, E. D. Maberly, and N. Takezawa (1995) and adjust for the existence of a pre-open trading session and the overnight trading of cross-listed shares in London. Our results indicate that extended trading for index futures contains useful information in explaining subsequent spot returns during the trading day. © 2004 Wiley Periodicals, Inc. Jrl Fut Mark 24:861,886, 2004 [source]

Do small traders contribute to price discovery?

THE JOURNAL OF FUTURES MARKETS, Issue 2 2010
Evidence from the Hong Kong Hang Seng Index markets
Using one-contract-size trades in the Mini Hang Seng Index futures to proxy the activities of small traders, this study empirically investigates the information contribution of small futures traders to price discovery on the Hang Seng Index (HSI) markets. Estimated with the models of Gonzalo, J., and Granger, C. W. J. (1995) and Hasbrouck, J. (1995), the results show that small traders contribute about 16.8% to price discovery, a disproportionately high share considering their relatively low trading volume. The results also indicate that the Hang Seng Index futures (HSIF) market still has the largest information share (about 71.0%), whereas the HSI spot market has a 12.2% share. Our results suggest that small traders are not uninformed in the HSIF markets, and play an important role in price discovery. © 2009 Wiley Periodicals, Inc. Jrl Fut Mark 30:156,174, 2010 [source]

Price discovery in the hang seng index markets: Index, futures, and the tracker fund

THE JOURNAL OF FUTURES MARKETS, Issue 9 2004
Raymond W. So
In this paper, price discovery among the Hang Seng Index markets is investigated using the Hasbrouck and Gonzalo and Granger common-factor models and the multivariate generalized autoregressive conditional heteroskedasticity (M-GARCH) model. Minute-by-minute data from the Hang Seng Index, Hang Seng Index futures, and the tracker fund show that the movements of the three markets are interrelated. The futures markets contain the most information, followed by the spot market. The tracker fund does not contribute to the price discovery process. The three markets exhibit spillover effects, indicating that their second moments are linked, even though the flow of information from the tracker fund to the other markets is minimal. Overall results suggest that the three markets have different degrees of information processing abilities, although they are governed by the same set of macroeconomic fundamentals. © 2004 Wiley Periodicals, Inc. Jrl Fut Mark 24:887,907, 2004 [source]

Discretionary government intervention and the mispricing of index futures

THE JOURNAL OF FUTURES MARKETS, Issue 12 2003
Paul Draper
This article examines how and to what extent direct market intervention by the Hong Kong government in both the stock and futures markets affected the pricing relationship between the Hang Seng Index futures and the cash index during the period of the Asian financial crisis. The study avoids infrequent trading and nonexecution problems by using tradeable bid and offer quotes for the constituent stocks of the index. The results show that arbitrage efficiency was impeded during, and in the immediate aftermath of, the intervention. The findings suggest that discretionary government action introduces an additional risk factor for arbitrageurs that continues to disrupt normal market processes even after the government ceases to intervene. The continued disruption following the government's actions in the market also stems from a poorly developed stock loan market that impedes short selling, as well as a lack of liquidity in the market. © 2003 Wiley Periodicals, Inc. Jrl Fut Mark 23:1159,1189, 2003 [source]

Measuring Pricing Inefficiencies Under Stressful Market Conditions

JOURNAL OF BUSINESS FINANCE & ACCOUNTING, Issue 3-4 2003
Louis Cheng
This study examines the mispricing and time between arbitrage trades of the Hong Kong Hang Seng index futures and index options contracts under various stressed market conditions. Ex-ante trading profits and differences in time between trades across up and down as well as stressed and non-stressed markets are used to measure how well the derivative markets perform under emotional distress. We find evidence of illiquidity in stressed and down markets. In stressful markets and down markets, liquidity suppliers are less likely to trade against the informed traders. This, in turn, leads to longer time between trades and higher arbitrage profits. [source]