EFFICIENCY OF ASIA-PACIFIC FUTURES MARKETS: AN EXAMINATION OF NEW ZEALAND AND HONG KONG MARKETS
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This paper investigates the efficiency ofthe New Zealand and the Hong Kong Index and Index Futures mar- kets using a cointegration and error correction based approach. The data for the study consists of the spot and futures pricesfor the NZSE40 and the HangSeng indices during 1992-1993. The studyfinds that the spot andfutures markets are cointegrated for both the NZSE40 and the Hang Seng indices. Error correction models indicate an efficient system ofinformationfeedback between the Hang Seng spot andfutures markets whereas thefutures leads the spot markets for the New Zealand data.
Abstract
This paper investigates the efficiency ofthe New Zealand and the Hong Kong Index and Index Futures mar- kets using a cointegration and error correction based approach. The data for the study consists of the spot and futures pricesfor the NZSE40 and the HangSeng indices during 1992-1993. The studyfinds that the spot andfutures markets are cointegrated for both the NZSE40 and the Hang Seng indices. Error correction models indicate an efficient system ofinformationfeedback between the Hang Seng spot andfutures markets whereas thefutures leads the spot markets for the New Zealand data.