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Journal of Banking & Finance Vol. 25 No. 2 2001

Relative informational efficiency of cash, futures, and options markets: The case of an emerging market

Raymond Chiang1; Wai-Ming Fong2

1 Department of Accountancy, Hong Kong Ploytechnic University, Kowloon, Hong Kong · 2 Chinese University of Hong Kong

Abstract

We study the lead–lag relationships among the spot, futures, and options markets on Hong Kong’s Hang Seng Index (HSI). The young options market experiences thin trading, and the option returns lag the cash index returns. The more mature futures market experiences active trading. Yet its lead over the cash index appears to be less than the counterparts in other countries. A possible reason is the dominance of a few major stocks in the index; and these stocks have symmetric lead–lag relations with the futures. Furthermore, the informativeness of the non-lasting futures and options quotations seems to depend on the market maturity.

DOI
10.1016/s0378-4266(99)00127-2
Volume
25
Issue
2
Pages
355-375
Language
en
Sources
openalex crossref bibtex:phds-export.bib

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