This paper examines the impact of switching to electronic trading on the relative pricing efficiency of Hang Sang Index futures and options contracts traded on the Hong Kong exchange. The study is motivated by the recent shift in 2000 from the pit to an electronic trading platform. Electronic...

This paper examines the GARCH effects on the Geweke and Porter-Hudak (GPH) and modified rescaled range (MRR) tests for the analysis of the deviations from the cointegrating relationship among series. The Monte Carlo results show that the MRR test is very robust to the GARCH effects. The GPH test...

This paper re-examines the significant autocorrelation results of foreign currency futures reported by Liu and He in this journal. It argues that extremely thin trading early in the life of individual futures contracts induces unreliable results in Liu and He. Moreover, the Monte Carlo results...

Purpose – This paper aims to provide an update to the risk management literature, as it compiles a survey of 65 recent theoretical and empirical studies on the topic. Design/methodology/approach – This is a survey paper that summarizes recent theoretical and empirical research regarding the...