Abstract
This paper uses over-the-counter currency options on the Hong Kong dollar to estimate the expected probability and intensity of a Hong Kong dollar devaluation over a one-month horizon, from February 1997 to the end of 1998. It then addresses the issue of the determinants driving these anticipations. It tests both for contagion effects arising from the Asian crisis and for the significance of the double speculative play involving the stock and Hang Seng index derivatives markets. Fears of a substantial depreciation of the yen and the Chinese renminbi along with portfolio reallocation effects and cross-market speculative dynamics proved to have significantly influence devaluation expectations in Hong Kong.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callMore From: Journal of The Japanese and International Economies
Disclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
