Asian initial public offerings (IPOs) require investors to pay a subscription cost upfront upon submission of an application, and these funds are locked up for one to three weeks without interest. Hence, the IPO process entails an explicit financing cost (opportunity cost) whether investors...

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 Index options and futures contracts that were traded on the Hong Kong Futures Exchange. The results show that...

On November 20, 1998, the Hong Kong Futures Exchange started opening its markets fifteen minutes earlier than the opening time and closes its markets fifteen minutes later than the closing time of the Hong Kong Stock Exchange. In this paper we utilize the Geweke feedback measures to examine the...

We use the net buying pressure hypothesis of N. P. B. Bollen and R. Whaley (2004) to examine the implied volatilities, options premiums, and options trading profits at various time‐intervals across five different moneyness categories of Hong Kong Hang Seng Index (HSI) options. The results show...

The US Federal Reserve and the European Central Bank have adopted a number of measures, including aggressive policy rate cuts, to ease the liquidity crunch in the financial markets following the collapse of Lehman Brothers. Using high frequency spot and forward foreign exchange and interest rate...