Search Results - "Fung, Joseph K. W."

Stochastic dominance relationships between stock and stock index futures markets: International evidence by Qiao, Zhuo, Wong, Wing-Keung, Fung, Joseph K.W.

“…In this paper, we first modify the stochastic dominance (SD) test for risk averters proposed by Davidson and Duclos (2000) to be the SD test for risk seekers…”
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Covered interest arbitrage profits: The role of liquidity and credit risk by Fong, Wai-Ming, Valente, Giorgio, Fung, Joseph K.W.

“…We study the profitability of Covered Interest Parity (CIP) arbitrage violations and their relationship with market liquidity and credit risk using a novel and…”
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Do Derivative Markets Contain Useful Information for Signaling “Hot Money” Flows? by Fung, Joseph K. W., Webb, Robert I., Chan, Wing H.

“…This study examines whether information from derivative markets is useful for signaling “hot money” and other large capital flows in an economy where the…”
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The Information Content of Model-Free Implied Volatility by Cheng, Xin, Fung, Joseph K.W.

“…This study examines the information content of model‐free implied volatility (MFIV) estimates with respect to the options and futures markets in Hong Kong. In…”
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The Impact of Sampling Frequency on Intraday Correlation and Lead-Lag Relationships Between Index Futures and Individual Stocks by Fung, Joseph K.W., Lau, Francis, Tse, Yiuman

“…Transaction costs, liquidity effects, capital limits, and regulatory restrictions reduce arbitrage efficiency and weaken the link between futures prices and…”
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Are Derivative Warrants Overpriced? by Fung, Joseph K. W., Zeng, Ted Z. X.

“…This study investigates the pricing efficiency of Hang Seng Index (HSI) derivative warrants in Hong Kong. Different from similar research, the study examines…”
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Forecasting volatility: Roles of sampling frequency and forecasting horizon by Chan, Wing Hong, Cheng, Xin, Fung, Joseph K.W.

“…This study empirically tests how and to what extent the choice of the sampling frequency, the realized volatility (RV) measure, the forecasting horizon and the…”
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The performance of alternative futures buy-write strategies by Che, Sanry Y.S., Fung, Joseph K.W.

“…This study compares the performance of a conventional buy‐write (or covered call writing) and a dynamic buy‐write strategy. The conventional strategy generally…”
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Price discovery in the foreign exchange futures market by Tse, Yiuman, Xiang, Ju, Fung, Joseph K. W.

“…Examination is made of the relative contributions to price discovery of the floor and electronically traded euro FX and Japanese yen futures markets and the…”
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The information content of option implied volatility surrounding the 1997 Hong Kong stock market crash by Fung, Joseph K. W.

“…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 author…”
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Order imbalance and the pricing of index futures by Fung, Joseph K.W.

“…This study examines whether the aggregate order imbalance for index stocks can explain the arbitrage spread between index futures and the underlying cash…”
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Expiration-day effects-An Asian twist by Fung, Joseph K. W., Yung, Haynes H. M.

“…This study examines the intraday trading activities of index stocks on the common expiration day of index derivatives. In Hong Kong, index futures and index…”
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Efficiency of single-stock futures: An intraday analysis by Fung, Joseph K.W., Tse, Yiuman

“…Using intraday bid–ask quotes of single‐stock futures (SSFs) contracts and the underlying stocks, the pricing and informational efficiency of SSF traded on the…”
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Order imbalance and the dynamics of index and futures prices by Fung, Joseph K.W., Yu, Philip L.H.

“…This study uses transaction records of index futures and index stocks, with bid/ask price quotes, to examine the impact of stock market order imbalance on the…”
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Discretionary government intervention and the mispricing of index futures by Draper, Paul, Fung, Joseph K. W.

“…This article examines how and to what extent direct market intervention by the Hong Kong government in both the stock and futures markets affected the pricing…”
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Mispricing of index futures contracts and short sales constraints by Fung, Joseph K. W., Draper, Paul

“…This article examines if changes in short sales constraints affect the extent to which index futures contracts are mispriced. In particular, the study analyzes…”
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How electronic trading affects bid-ask spreads and arbitrage efficiency between index futures and options by Cheng, Kevin H. K., Fung, Joseph K. W., Tse, Yiuman

“…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…”
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Restrictions on Short-Selling and Spot-Futures Dynamics by Fung, Joseph K. W., Jiang, Li

“…Recent lifting of short‐sales constraints in Hong Kong provides an important opportunity to examine whether such restrictions affect the dynamic relationship…”
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Pricing Efficiency in a Thin Market with Competitive Market Makers: Box Spread Strategies in the Hang Seng Index Options Market by Fung, Joseph K. W., Mok, Henry M. K., Wong, Kenneth C. K.

“…Using a box spread arbitrage strategy, we examine the pricing efficiency of the emerging, thinly traded Hang Seng Index options market in Hong Kong, where…”
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Pricing dynamics of index options and index futures in Hong Kong before and during the Asian financial crisis by Cheng, Louis T. W., Fung, Joseph K. W., Chan, Kam C.

“…This article studies the impact of the Asian financial crisis on index options and index futures markets in Hong Kong. We employed a time‐stamped transaction…”
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