Volatility transmission between Hangseng index futures and option markets

By using bivariate EC-EGARCH model to test the daily data, the paper explore the information spillover effect between stock index futures and options markets. The results show that as follows: (1) there exists long-term balance between Hang-seng index futures and options prices; (2) the co-integration residual can explain the conditional return equation; (3) stock index option market plays a dominant role in price discovery.