Relative informational efficiency of cash, futures, and options markets: The case of an emerging market

We study the lead-lag relationships among the spot, futures, and options ma rkets on Hong Kong's Hang Seng Index (HST). The young options market experi ences thin trading, and the option returns lag the cash index returns. The more mature futures market experiences active trading. Yet its lead over th e cash index appears to be less than the counterparts in other countries. A possible reason is the dominance of a few major stocks in the index; and t hese stocks have symmetric lead-lag relations with the futures. Furthermore , the informativeness of the non-lasting futures and options quotations see ms to depend on the market maturity. (C) 2001 Elsevier Science B.V. All rig hts reserved. JEL classification: G10; G12; G13.