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...

We examine the lead-lag relation between index futures and the underlying index under three types of short-selling restrictions on stocks in Hong Kong. Our results indicate that lifting short-selling restrictions can enhance the informational efficiency of the stock market relative to the index...

We first re-examine buy-and-hold arbitrage strategies using both ex-post and ex-ante index options and futures data in Hong Kong. The results show that the arbitrage profit is not large enough to cover the transaction costs for both individual and institutional investors. Second, we find that,...