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Do Derivative Markets Contain Useful Information for Signaling “Hot Money” Flows?
Author(s) -
Fung Joseph K. W.,
Webb Robert I.,
Chan Wing H.
Publication year - 2017
Publication title -
asia‐pacific journal of financial studies
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.375
H-Index - 15
eISSN - 2041-6156
pISSN - 2041-9945
DOI - 10.1111/ajfs.12178
Subject(s) - monetary economics , convertibility , speculation , economics , renminbi , monetary policy , volatility (finance) , capital market , business , exchange rate , financial system , finance , currency
This study examines whether information from derivative markets is useful for signaling “hot money” and other large capital flows in an economy where the monetary authority pursues a policy of exchange rate stability. It examines the information content of Hong Kong‐traded derivative securities for signaling changes in the aggregate balance of the Hong Kong banking system during a period of intense initial public offering activity and speculation on the revaluation of the renminbi. The impact of the Hong Kong Monetary Authority's ( HKMA ) Convertibility Undertakings on the dynamic relationships among capital flows, stock market volatility, and stock market turnover is examined.