The global value of trading in index futures is about $20 trillion per year and rising and for
many countries the value traded is similar to that traded on their stock markets. This book …

This article examines if changes in short sales constraints affect the extent to which index
futures contracts are mispriced. In particular, the study analyzes the mispricing of the Hong …

Despite the importance of the London markets and the significance of the relationship for
market makers, little published research is available on arbitrage between the FTSE‐100 …

This article studies the impact of the Asian financial crisis on index options and index futures
markets in Hong Kong. We employed a time‐stamped transaction data set of the Hang Seng …

We can infer from bid/ask quotations and transaction prices that where options contracts are
traded under a competitive open‐outcry market‐making system, the options and futures …

This article examines how and to what extent direct market intervention by the Hong Kong
government in both the stock and futures markets affected the pricing relationship between …

This study examines the pricing efficiency of E-mini and floor-traded index futures under
electronic versus open-outcry trading platforms. By using OLS and quantile regressions to …

Using a box spread arbitrage strategy, we examine the pricing efficiency of the emerging,
thinly traded Hang Seng Index options market in Hong Kong, where market makers operate …

This paper examines the impact of switching to electronic trading on the relative pricing
efficiency of Hang Sang Index futures and options contracts traded on the Hong Kong …

This paper is concerned with arbitrage opportunities in the futures and futures option
contracts traded on the Sydney Futures Exchange (SFE) within a put-call-futures-parity …