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O. Gwilym and M. Buckle, “The Lead-Lag Relationship between the FTSE 100 Stock Index and Its Derivative Contracts,” Applied Financial Economics, Vol. 11, No. 4, 2001, pp. 385-393. doi:10.1080/096031001300313947

has been cited by the following article:

• TITLE: The Efficiency Research on Stock Index Derivatives in a Bear Market—The Evidences from Hangseng Index Derivatives Markets

  AUTHORS: Jie Wei

  KEYWORDS: Stock Index Option; Stock Index; Lead-Lag Relationship; Pricing Discovery; Efficiency

  JOURNAL NAME: Technology and Investment, Vol.4 No.2, May 24, 2013

  ABSTRACT: This paper examines the relationships among Hangseng index and its related derivatives in a bear market. The Johansen Co-integration and vector error correction model are used to analyze the relationships between markets. The main results are as follows: 1) The lead-lag relationships show that Hangseng index futures and option markets play a more important price discovery role; 2) The pricing efficiency test demonstrates that both Hangseng index futures and options markets are all efficient; 3) It proves that the existence of Hangseng index option market has a huge promotion effect to Hangseng cash and futures markets and increases their liquidity. This conclusion gives evidence thatChinashould launch the stock index options with the same underlying index in due time and form a pattern that stock index futures and option markets develop in parallel.