The Efficiency Research on Stock Index Derivatives in a Bear Market—The Evidences from Hangseng Index Derivatives Markets

The Efficiency Research on Stock Index Derivatives in a Bear Market—The Evidences from Hangseng Index Derivatives Markets

This paper examines the relationships among Hangseng index and its related derivatives in a bear market. The Johansen Co-integration and vector error correction model are used to analyze the relationships between markets. The main results are as follows: 1) The lead-lag relationships show that Hangseng index futures and option markets play a more important price discovery role; 2) The pricing e...

Efficiency in Index Options Markets and Trading in Stock Baskets

Researchers have reported mispricing in index options markets. This study further examines the efficiency of the S&P 500 index options market by testing theoretical pricing relationships implied by no-arbitrage conditions. The effect of a traded stock basket, Standard and Poor’s Depository Receipts (SPDRs), on the link between index and options markets is also examined. Pricing efficiency withi...

index derivatives, index futures, index options, stock portfolio futures, stock portfolio options

nowadays, the significant increase in the banks' non- performing loans is one of the main disturbances for authorities because of its bad effects on the macroeconomic index in our country such as increasing credit risk, liquidity risk and finally bankruptcy risk. social gap in welfare programs, deviation in monetary policies, etc. are the other bad results of this phenomenon. meanwhile, du...

The Impact of Derivatives on Stock Market Volatility: a Study of the Nifty Index

This paper studies the volatility implications of the introduction of derivatives on stock market volatility in India using the S&P CNX Nifty Index as a benchmark. To account for non-constant error variance in the return series, a GARCH model is fitted by incorporating futures and options dummy variables in the conditional variance equation. We find clustering and persistence of volatility befo...

Valuation of Housing Index Derivatives