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...

This study examines the information conveyed by options, and examines their implied volatility at the time of the 1997 Hong Kong stock market crash. The paper determines the efficiency of implied volatility as a predictor of future volatility by comparing it to other candidate leading...

This study examines whether the direction and magnitude of the aggregate order-imbalance of the index stocks can explain the arbitrage spread between index futures and the underlying cash index. The data are for the Asian financial crisis period and hence entail wide variations in order...

This study uses transaction records of index futures and the index stocks, with bid/ask price quotes, to examine the impact of stock market order imbalance on the dynamic behavior of index futures and cash index prices. Spurious correlation in the index is purged by using an estimate of the...

This is an examination of the intraday trading activities of index stocks on the common expiration day of index derivatives. In Hong Kong, index futures and index options use an Asian-style settlement procedure. All contracts are settled against the estimated average settlement (EAS) price,...

This study examines whether information from derivative markets is useful for signaling “hot money” and other large capital flows in an economy where the monetary authority pursues a policy of exchange rate stability. Specifically, this study examines the information content of various Hong...

Hong Kong represents the second largest of the initial public offering (IPO) markets that adopt an advance payment subscription procedure. The lengthy process creates substantial financing costs to investors but interest earnings to issuers. Data from a sample of 386 IPOs listed between 2000 and...

We investigate the performance and risk of currency hedge funds using a large and unique consolidated currency hedge fund dataset. We find that a substantial number of hedge funds generate returns that exceed foreign exchange risk premia obtained through carry trades. The best alpha-generating...

This paper investigates the effect of US monetary policy announcements on the term structure of US interest rate differentials with Hong Kong and Singapore. US monetary policy surprises on domestic and international interest rates are measured by using data from short-term interest rate futures...

Theoretical studies show that shocks to funding constraints should affect and be af-fected by market illiquidity. However, little is known about the empirical magnitude of such responses because of the intrinsic endogeneity of illiquidity shocks. This paper adopts an identification technique...