Zhang, Zhihua; Lai, Rose Neng - In: Applied Financial Economics 16 (2006) 16, pp. 1185-1198
This study updates the issue of arbitrage and joint market efficiency of the Hong Kong derivatives markets from three aspects: (1) put-call-futures parity is tested on a much more recent and larger data set (2002-2004); (2) the period covers several major events that exert remarkable shocks to...