UM E-Theses Collection (澳門大學電子學位論文庫)
- Title
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Call auctions, exchange-traded barrier option and price manipulation : evidence from Callable Bull/Bear Contracts
- English Abstract
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Show / Hidden
Call auction is one important trading mechanism and it is widely adopted by large exchange operators in the world. In Hong Kong Stock Exchange (HKSE), with the popularity of the exchange-traded barrier option (Callable Bull/Bear Contracts (CBBC)), the opening and closing call auction sessions may provide the opportunity for manipulation attacks. The introduction and suspension of closing call auction session provides a good opportunity to study how CBBC trading activities, especially Mandatory Call Event (MCE), affect these call auction sessions and whether manipulators will take advantage of MCE in call auction session to do manipulative behavior. We find evidence that call auction can significantly increase the probability of MCE occurring, and the number of MCE in pre-opening session is positively related with stock price manipulation. That means call auction system does not achieve its original goals to determine an effective and efficient price in Hong Kong stock market, and it offers manipulation opportunity to CBBC issuers to lock benefits through MCE. This paper is expected to provide insight to improve call auction sessions under the influence of exchange-traded options.
- Issue date
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2013.
- Author
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Zhang, Ti
- Faculty
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Faculty of Business Administration
- Department
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Department of Finance and Business Economics
- Degree
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M. Sc.
- Subject
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Investment analysis -- Hong Kong
Stock price forecasting -- Hong Kong
Stock warrants -- Hong Kong
- Supervisor
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Lei, Cheuk Hung
- Files In This Item
- Location
- 1/F Zone C
- Library URL
- 991008707009706306