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Evidence on the Arbitrage Efficiency of SPI Index Futures and Option Markets

Evidence on the Arbitrage Efficiency of SPI Index Futures and Option Markets PDF Author: Steven Li
Publisher:
ISBN:
Category : Arbitrage
Languages : en
Pages : 0

Book Description

Evidence on the Arbitrage Efficiency of SPI Index Futures and Option Markets

Evidence on the Arbitrage Efficiency of SPI Index Futures and Option Markets PDF Author: Steven Li
Publisher:
ISBN:
Category : Arbitrage
Languages : en
Pages : 0

Book Description

Evidence on the Arbitrage Efficiency of SPI Index Futures and Options Markets

Evidence on the Arbitrage Efficiency of SPI Index Futures and Options Markets PDF Author: Steven Li
Publisher:
ISBN:
Category : Arbitrage
Languages : en
Pages : 35

Book Description

Arbitrage and Efficiency in the Stock Index Futures and Options Markets

Arbitrage and Efficiency in the Stock Index Futures and Options Markets PDF Author:
Publisher:
ISBN:
Category :
Languages : en
Pages : 170

Book Description

Monetary and Economic Studies

Monetary and Economic Studies PDF Author:
Publisher:
ISBN:
Category : Finance
Languages : en
Pages : 522

Book Description

Information Transfer, Microstructures and Arbitrage in Related Stock and Futures Markets

Information Transfer, Microstructures and Arbitrage in Related Stock and Futures Markets PDF Author: Allan Clement Hodgson
Publisher:
ISBN:
Category : Communication in financial institutions
Languages : en
Pages : 588

Book Description

Bank of Japan Monetary and Economic Studies

Bank of Japan Monetary and Economic Studies PDF Author:
Publisher:
ISBN:
Category : Finance
Languages : en
Pages : 138

Book Description

The Arbitrage Efficiency of Nikkei 225 Options Market

The Arbitrage Efficiency of Nikkei 225 Options Market PDF Author: Steven Li
Publisher:
ISBN:
Category : Arbitrage
Languages : en
Pages : 44

Book Description
This paper is concerned with arbitrage efficiency of the Nikkei index option contracts traded on the Osaka Securities Exchange (OSE) within the put-call parity (PCP) framework. A thorough ex post analysis is first carried out. The results reveal a modest number of violations with 2.74% of the sample breaching the PCP equation and an average arbitrage profit of 22.61 index points for OSE member firms during the sample period (2003-05). Ex ante tests are then conducted whereby ex post profitable arbitrage strategies, signified by the matched put and call contracts, are executed with lags of 1 minute and 3 minutes. The ex ante results reveal that the number of profitable arbitrage opportunities and the average profit are both reduced significantly with an execution lag. In addition, regression analysis is used to provide further evidence about the PCP and arbitrage profitability. Overall, there is no strong evidence found against the efficiency of the Nikkei 225 options market, though arbitrage opportunities do exist occasionally.--Author's abstract.

Program Trading

Program Trading PDF Author: Kevin F. Winch
Publisher:
ISBN:
Category : Arbitrage
Languages : en
Pages : 62

Book Description

Index Options-futures Arbitrage

Index Options-futures Arbitrage PDF Author: Joseph K. W. Fung
Publisher:
ISBN:
Category : Arbitrage
Languages : en
Pages : 40

Book Description

How Electronic Trading Affects Bid-ask Spreads and Arbitrage Efficiency Between Index Futures and Options

How Electronic Trading Affects Bid-ask Spreads and Arbitrage Efficiency Between Index Futures and Options PDF Author: Kevin Cheng (H. K.)
Publisher:
ISBN:
Category : Arbitrage
Languages : en
Pages : 32

Book Description

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