An empirical study of pricing efficiency and arbitrage opportunity in Hong Kong HSI futures and options markets

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dc.contributor.advisor Ye, George
dc.coverage.spatial Hong Kong (China)
dc.creator Lu, Yang
dc.date.accessioned 2013-09-06T17:58:43Z
dc.date.available 2013-09-06T17:58:43Z
dc.date.issued 2013
dc.identifier.uri http://library2.smu.ca/xmlui/handle/01/25131
dc.description 1 online resource (iii, 25 p.) : ill.
dc.description Includes abstract and appendix.
dc.description Includes bibliographical references (p. 22-24).
dc.description.abstract The objective of this study is to investigate the pricing efficiency for HSI and Mini-HSI futures and options contracts, this will assist investors to avoid the volatility of the market, reduce the risk from the spot market, and test or verify the existence of arbitrage opportunities. The results suggest that the price of Mini-HSI Index futures market fails to follow the theoretical put-call-futures parity model. This paper considers about ex post and ex ante. After add transaction cost in the least linear regression, the result proved that the HSI futures market exists arbitrage opportunity even through transaction costs are considered. During January 2010 to June 2011 mispricing existed in the market. en_CA
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dc.description.provenance Made available in DSpace on 2013-09-06T17:58:43Z (GMT). No. of bitstreams: 1 lu_yang_mrp_2013.pdf: 622735 bytes, checksum: e96807114ff3c8d710db33ed09bf3bdf (MD5) en
dc.language.iso en en_CA
dc.publisher Halifax, N.S. : Saint Mary's University
dc.title An empirical study of pricing efficiency and arbitrage opportunity in Hong Kong HSI futures and options markets en_CA
dc.type Text en_CA
thesis.degree.name Master of Finance
thesis.degree.level Masters
thesis.degree.discipline Finance, Information Systems, & Management Science
thesis.degree.grantor Saint Mary's University (Halifax, N.S.)
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