Testing the net buying pressure hypothesis during the Asian financial crisis: Evidence from Hang Seng Index options

Kam C. Chan, Tsz Wan Cheng, Peter P. Lung

Research output: Journal article publicationReview articleAcademic researchpeer-review

4 Citations (Scopus)

Abstract

We investigate net buying pressure in the Hong Kong Hang Seng Index options market during the Asian financial crisis from July 1997 to August 1998. Our findings suggest that during this period, the dramatic changes in volatility overwhelmed the dynamics of supply and demand in the options market. The extremely high realized volatility drove market participants' expectations about future market volatility in the early months of the crisis. Findings during the late-crisis, pre-crisis, and post-crisis periods are consistent with the net buying pressure hypothesis.
Original languageEnglish
Pages (from-to)43-62
Number of pages20
JournalJournal of Financial Research
Volume29
Issue number1
DOIs
Publication statusPublished - 1 Mar 2006

ASJC Scopus subject areas

  • Accounting
  • Finance

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