Do Derivative Markets Contain Useful Information for Signaling “Hot Money” Flows?

Joseph K W FUNG*, Robert I. Webb, Wing H. Chan

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review


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.

Original languageEnglish
Pages (from-to)491-527
Number of pages37
JournalAsia-Pacific Journal of Financial Studies
Issue number3
Publication statusPublished - Jun 2017

Scopus Subject Areas

  • Finance

User-Defined Keywords

  • Capital flows
  • Currency board
  • Derivative markets
  • Hot money


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