Making Hong Kong’s Derivative Warrants Market

摘要：

We examine daily trading records and price dynamics and find market makers in Hong Kong’s derivative warrant market conduct positive feedback trading. That is, when underlying prices go up (down), they would buy (sell) call / sell (buy) put. We argue that market makers trade in such a fashion mainly to manage the risk of their inventory position.

关键词： Derivative warrants Market making

作者: Ying-Foon Chow Jianwei Li Ming Liu

作者单位: Department of Finance The Chinese University of Hong Kong Shatin, New Territories, Hong Kong

会议类型: 国际会议

会议名称: 2007年中国金融国际年会

会议地点: 成都

会议语种:英文

页码: 1-28

在线出版日期: 2007-07-09（万方平台首次上网日期，不代表论文的发表时间）