TITLE:
The Efficiency Research on Stock Index Derivatives in a Bear Market—The Evidences from Hangseng Index Derivatives Markets
AUTHORS:
Jie Wei
KEYWORDS:
Stock Index Option; Stock Index; Lead-Lag Relationship; Pricing Discovery; Efficiency
JOURNAL NAME:
Technology and Investment,
Vol.4 No.2,
May
24,
2013
ABSTRACT:
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 efficiency test demonstrates
that both Hangseng index futures and options markets are all efficient; 3) It
proves that the existence of Hangseng index option market has a huge promotion
effect to Hangseng cash and futures markets and increases their liquidity. This
conclusion gives evidence thatChinashould launch the stock index options with the same underlying index in due
time and form a pattern that stock index futures and option markets develop in
parallel.