Volume, volatility and expiration day effect on stock index futures - a case of Hong Kong

Abstract

Trading on stock index futures contracts 1 S quite new to financial investors. However, many studies have already been done the pricing of these futures contracts (Cornell and French 1983, Modest and Sundaresan 1983, Mackinlay and and they find that the futures prices deviated substantially from their theoretical prices. In Hong Kong, the first futures contracts, the Hang Seng Index Futures introduced on 6 May, 1986. Similar studies on the futures contracts have also been done (Tang 1989, Tang and Ho 1989). Empirical evidences show that the HSIF significantly and positively mispriced.