Relative informational eciency of cash, futures, and options markets: The case of an emerging market
نویسندگان
چکیده
We study the lead±lag relationships among the spot, futures, and options markets on Hong KongÕs Hang Seng Index (HSI). The young options market experiences thin trading, and the option returns lag the cash index returns. The more mature futures market experiences active trading. Yet its lead over the cash index appears to be less than the counterparts in other countries. A possible reason is the dominance of a few major stocks in the index; and these stocks have symmetric lead±lag relations with the futures. Furthermore, the informativeness of the non-lasting futures and options quotations seems to depend on the market maturity. Ó 2001 Elsevier Science B.V. All rights reserved. JEL classi®cation: G10; G12; G13
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