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AbstractWe investigate net buying pressure in the Hong Kong Hang Seng Index options market during the Asian financial crisis from July 1997 to August 1998. Our findings suggest that during this period, the dramatic changes in volatility overwhelmed the dynamics of supply and demand in the options market. The extremely high realized volatility drove market participants' expectations about future market volatility in the early months of the crisis. Findings during the late‐crisis, pre‐crisis, and post‐crisis periods are consistent with the net buying pressure hypothesis.

AbstractWe document that the Treasury market investor sentiment (TSENT) of institutional investors is a powerful predictor of bond risk premia. Specifically, TSENT positively predicts Treasury bond excess returns in and out of sample. The forecasting gains of TSENT are incremental to those in conventional bond return predictors: Fama–Bliss forward spreads, Cochrane–Piazzesi forward rate factor, and Ludvigson–Ng macro factor, as well as equity market sentiment proxies such as the investor sentiment index and the partial least squares sentiment index. Asset allocation analysis indicates the forecasting power of TSENT is economically valuable to investors. Finally, we show that the time‐series bond risk premia predictability associated with TSENT relates to its predictive power for macroeconomic performance, such as payroll employment, unemployment rate, and industrial production.

Several stock exchanges have launched alternative markets to target small and medium enterprises. In this research, we examine the determinants of the operating and stock return performance of alternative markets. Our results suggest that turnover and stock returns of alternative markets affect each other. Hence, it is imperative to examine the performances of alternative markets in a simultaneous equation system to mitigate the causality among performance variables. In addition, a good anti-director rights environment and a noncommon law origin country contribute to a higher turnover and additional new listings in an alternative market. A common law origin country, all else the same, contributes to higher alternative market stock returns. A high index of economic freedom negatively correlates with the turnover of an alternative market. The accounting standard and the governance structure of an exchange are not related to the operating and stock return performance in alternative markets. This research contributes to stock market development by focusing on alternative markets.