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Pricing efficiency in a thin market with competitive market makers : box spread strategies in the Hang Seng Index options market
Fung, Joseph K. W.; Mok, Henry M. K.; Wong, Kenneth C. K. - In: The financial review : the official publication of the … 39 (2004) 3, pp. 435-454
Persistent link: https://www.econbiz.de/10002163289
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Order imbalance and the pricing of index futures
Fung, Joseph K. W. - In: The journal of futures markets 27 (2007) 7, pp. 697-717
Persistent link: https://www.econbiz.de/10003493150
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The impact of sampling frequency on intraday correlation and lead-lag relationships between index futures and individual stocks
Fung, Joseph K. W.; Lau, Francis; Tse, Yiuman - In: The journal of futures markets 35 (2015) 10, pp. 939-952
Persistent link: https://www.econbiz.de/10011392705
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Order imbalance and the dynamics of index and futures prices
Fung, Joseph K. W.; Yu, Philip L. H. - In: The journal of futures markets 27 (2007) 12, pp. 1129-1157
Persistent link: https://www.econbiz.de/10003627158
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Effects of electronic trading on the Hang Seng Index futures market
Fung, Joseph K. W.; Lien, Da-hsiang Donald; Tse, Yiuman; … - In: International review of economics & finance : IREF 14 (2005) 4, pp. 415-425
Persistent link: https://www.econbiz.de/10003195716
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How electronic trading affects bid-ask spreads and arbitrage efficiency between index futures and options
Cheng, Kevin H. K.; Fung, Joseph K. W.; Tse, Yiuman - In: The journal of futures markets 25 (2005) 4, pp. 375-398
Persistent link: https://www.econbiz.de/10002647868
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Discretionary government intervention and the mispricing of index futures
Draper, Paul R.; Fung, Joseph K. W. - In: The journal of futures markets 23 (2003) 12, pp. 1159-1189
Persistent link: https://www.econbiz.de/10001828528
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A study of arbitrage efficiency between the FTSE-100 index futures and options contracts
Draper, Paul; Fung, Joseph K. W. - 2001
Persistent link: https://www.econbiz.de/10001612483
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Lead-lag relationship between spot and futures markets under different short-selling regimes
Fung, Joseph K. W.; Jiang, Li; Cheng, Louis T. W. - 2001
Persistent link: https://www.econbiz.de/10001612484
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Mispricing of index futures contracts and short sales constraints
Fung, Joseph K. W.; Draper, Paul R. - In: The journal of futures markets 19 (1999) 6, pp. 695-715
Persistent link: https://www.econbiz.de/10001410400