Relative informational efficiency of cash,futures, and options markets: The case of an emerging market |
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| Institution: | 1. Department of Accountancy, Hong Kong Ploytechnic University, Kowloon, Hong Kong;2. Department of Finance, Chinese University of Hong Kong, Shatin, N.T., Hong Kong;1. Department of Clinical Epidemiology, Leiden University Medical Center, The Netherlands;2. Institute of Social & Preventive Medicine (ISPM), University of Bern, Finkenhubelweg 11, CH-3012, Switzerland;3. CTU Bern, Department of Clinical Research, University of Bern, 3012 Bern, Switzerland;4. Division of Clinical Epidemiology, University Hospitals of Geneva, Geneva, Switzerland;5. Centre for Infectious Disease Epidemiology and Research (CIDER), University of Cape Town, South Africa |
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| 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. |
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