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

Lu, Yang

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.)