题目: Order Imbalance and the Dynamics of Index and Futures Prices
演讲者：Joseph K.W. Fung， Professor of Finance， Department of Finance and Decision Sciences， School of Business， Hong Kong Baptist University
时间: 2007年4月27日（星期五）3：00—4：30 PM
地点: 嘉庚二513
参加者: 对财务研究有兴趣的广大师生
主持人： 邬瑜骏老师
报告论文摘要:
This study uses transaction records of index futures and the index stocks, with bid/ask price quotes, to examine the impact of stock market order imbalance on the dynamic behaviour of index futures and cash index prices. Spurious correlation in the index is purged by using an estimate of the “true” index with highly synchronous and active quotes of individual stocks. A smooth transition autoregressive error-correction model (STAECM) is used to describe the nonlinear dynamics of the index and futures prices. Order imbalance in the cash stock market is found to significantly affect the error-correction dynamics of index and futures prices. Order imbalance impedes error-correction particularly when the market impact of order imbalance works against the error-correction force of the cash index, explaining why real potential arbitrage opportunity may persist over some time. Incorporating order imbalance in the framework significantly improves its explanatory power. The findings indicate that a stock market microstructure that allows a quick resolution of order imbalance promotes dynamic arbitrage efficiency between futures and the underlying stocks. The results also suggest that unloading of cash stocks by portfolio managers in falling market situation aggravates the price decline and increases the real cost of hedging with futures.
本期论文下载: 第四十二期论坛文章
Presentation ppt
论文作者简介：
Prof. Fung has been serving as a member of the Asia Pacific Futures Research Symposium (APFRS) organizing committee since 2003. His research, teaching, and consulting experiences have been mainly related to derivative securities markets. He has been active on both academic and commissioned/contracted research on the Hong Kong markets. He held research fellowships at universities in Australia, France, Singapore, and U.K.; and at the Federal Reserve Bank of Atlanta and Hong Kong Institute for Monetary Research (an independent entity affiliated with the Hong Kong Monetary Authority). He served as special project consultants for the Hong Kong Exchanges and Clearing Limited, the Securities and Futures Commission of Hong Kong, and a number of proprietary securities trading houses.
He is ranked among the top 25 authors among 170 Asia-Pacific universities measured by the weighted total JF-pages (1990-2004) in 21 leading finance journals according to Chan K.C., C.R. Chen, and P.P. Lung (2005) “Ranking of Finance Programs in the Asia-Pacific Region: An Update” Pacific-Basin Finance Journal 13, 584-600.
His recent paper “Order Imbalance and the Pricing of Index and Futures Prices” has received the Korea Futures Association (KOFA) best paper award at the Third Conference of the Asia-Pacific Association of Derivatives held in Busan, Korea. The conference is sponsored by the Korea Exchange (KRX) and the Korea Futures Association (KOFA).