Cheng, Kevin H. K.; Fung, Joseph K. W.; Tse, Yiuman - In: Journal of Futures Markets 25 (2005) 4, pp. 375-398
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 exchange. The study is motivated by the recent shift in 2000 from the pit to an electronic trading platform. Electronic...