Efficiency in index options markets and trading in stock baskets
Download full text from publisher
As the access to this document is restricted, you may want to look for a different version below or search for a different version of it.
Other versions of this item:
- Lucy F. Ackert & Yisong S. Tian, 1999. "Efficiency in index options markets and trading in stock baskets," FRB Atlanta Working Paper 99-5, Federal Reserve Bank of Atlanta.
References listed on IDEAS
- Baesel, Jerome B & Shows, George & Thorp, Edward, 1983. " The Cost of Liquidity Services in Listed Options: A Note," Journal of Finance, American Finance Association, vol. 38(3), pages 989-995, June.
- Harris, Lawrence & Sofianos, George & Shapiro, James E, 1994. "Program Trading and Intraday Volatility," Review of Financial Studies, Society for Financial Studies, vol. 7(4), pages 653-685.
- Shleifer, Andrei & Vishny, Robert W, 1997.
" The Limits of Arbitrage,"
Journal of Finance,
American Finance Association, vol. 52(1), pages 35-55, March.
- Andrei Shleifer & Robert W. Vishny, 1995. "The Limits of Arbitrage," NBER Working Papers 5167, National Bureau of Economic Research, Inc.
- Andrei Shleifer ad Robert W. Vishny, 1995. "The Limits of Arbitrage," Harvard Institute of Economic Research Working Papers 1725, Harvard - Institute of Economic Research.
- Evnine, Jeremy & Rudd, Andrew, 1985. " Index Options: The Early Evidence," Journal of Finance, American Finance Association, vol. 40(3), pages 743-756, July.
- Galai, Dan, 1977. "Tests of Market Efficiency of the Chicago Board Options Exchange," The Journal of Business, University of Chicago Press, vol. 50(2), pages 167-197, April.
- Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-654, May-June.
- Billingsley, Randall S & Chance, Don M, 1985. "Options Market Efficiency and the Box Spread Strategy," The Financial Review, Eastern Finance Association, vol. 20(4), pages 287-301, November.
- Phillips, Susan M. & Smith, Clifford Jr., 1980. "Trading costs for listed options : The implications for market efficiency," Journal of Financial Economics, Elsevier, vol. 8(2), pages 179-201, June.
- Kamara, Avraham & Miller, Thomas W., 1995. "Daily and Intradaily Tests of European Put-Call Parity," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 30(04), pages 519-539, December.
- Cox, John C. & Ross, Stephen A. & Rubinstein, Mark, 1979. "Option pricing: A simplified approach," Journal of Financial Economics, Elsevier, vol. 7(3), pages 229-263, September.
- Ronn, Aimee Gerbarg & Ronn, Ehud I, 1989. "The Box Spread Arbitrage Conditions: Theory, Tests, and Investment Strategies," Review of Financial Studies, Society for Financial Studies, vol. 2(1), pages 91-108.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Groen-Xu, Moqi & Massa, Massimo & Mataigne, Virginie & Vermaelen, Theo, 2017. "Choices in Equity Finance A Global Perspective," CEPR Discussion Papers 11987, C.E.P.R. Discussion Papers.
- Laurent Deville & Fabrice Riva, 2007.
"Liquidity and Arbitrage in Options Markets: A Survival Analysis Approach,"
Review of Finance,
European Finance Association, vol. 11(3), pages 497-525.
- Laurent Deville & Fabrice Riva, 2007. "Liquidity and Arbitrage in Options Markets: A SurvivalAnalysis Approach," Post-Print halshs-00162221, HAL.
- Laurent Deville & Fabrice Riva, 2007. "Liquidity and arbitrage in options markets: A survival analysis approach," Post-Print halshs-00673244, HAL.
- Hegde, Shantaram P. & McDermott, John B., 2004. "The market liquidity of DIAMONDS, Q's, and their underlying stocks," Journal of Banking & Finance, Elsevier, vol. 28(5), pages 1043-1067, May.
- Shinhua Liu, 2016. "Are SPDR Options Good for the Underlying Stocks?," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 6(04), pages 1-27, December.
- Chatrath, Arjun & Christie-David, Rohan A. & Miao, Hong & Ramchander, Sanjay, 2015. "Short-term options: Clienteles, market segmentation, and event trading," Journal of Banking & Finance, Elsevier, vol. 61(C), pages 237-250.
- Seppo Ikaheimo & Nuutti Kuosa & Vesa Puttonen, 2006. "'The True and Fair View' of Executive Stock Option Valuation," European Accounting Review, Taylor & Francis Journals, vol. 15(3), pages 351-366.
- Massa, Massimo & Vermaelen, Theo & Xu, Moqi, 2013.
"Rights offerings, trading, and regulation: a global perspective,"
LSE Research Online Documents on Economics
55403, London School of Economics and Political Science, LSE Library.
- Massimo Massa & Theo Vermaelen & Moqi Xu, 2013. "Rights offerings, trading, and regulation: A global perspective," FMG Discussion Papers dp727, Financial Markets Group.
- Cassese, Gianluca & Guidolin, Massimo, 2006. "Modelling the implied volatility surface: Does market efficiency matter?: An application to MIB30 index options," International Review of Financial Analysis, Elsevier, vol. 15(2), pages 145-178.
- Alexander, C. & Barbosa, A., 2008. "Hedging index exchange traded funds," Journal of Banking & Finance, Elsevier, vol. 32(2), pages 326-337, February.
- Ayla Ogus, 2002.
"Pricing of S&P 100 Index Options Based On Garch Volatility Estimates,"
0201, Izmir University of Economics.
- Ayla Ogus, 2005. "Pricing Of S&P 100 Index Options Based On Garch Volatility Estimates," Finance 0504005, EconWPA.
- Gianluca Cassesse & Massimo Guidolin, 2005. "Modelling the MIB30 implied volatility surface. Does market efficiency matter?," Working Papers 2005-008, Federal Reserve Bank of St. Louis.
- Nidhi Aggarwal, 2015. "Limits to arbitrage: The case of single stock futures and spot prices," Indira Gandhi Institute of Development Research, Mumbai Working Papers 2015-010, Indira Gandhi Institute of Development Research, Mumbai, India.
- Diaw, Abdou & Hassan, Salwana & Ng Boon Ka, Adam, 2010. "Performance of Islamic and conventional exchange traded funds in Malaysia," MPRA Paper 32601, University Library of Munich, Germany.
- Carol Alexander & Andreza Barbosa, 2006. "Minimum Variance Hedging and Stock Index Market Efficiency," ICMA Centre Discussion Papers in Finance icma-dp2006-04, Henley Business School, Reading University, revised Sep 2006.
- Panayiotis Andreou & Chris Charalambous & Spiros Martzoukos, 2006. "Robust Artificial Neural Networks for Pricing of European Options," Computational Economics, Springer;Society for Computational Economics, vol. 27(2), pages 329-351, May.
- Carol Alexander & Andreza Barbosa, 2005. "Is Minimum Variance Hedging Necessary for Equity Indices? A study of Hedging and Cross-Hedging Exchange Traded Funds," ICMA Centre Discussion Papers in Finance icma-dp2005-16, Henley Business School, Reading University.
- Ardia, David, 2007. "Tests d’arbitrage sur options: une analyse empirique des cotations de market-makers," DQE Working Papers 8, Department of Quantitative Economics, University of Freiburg/Fribourg Switzerland.
- repec:kap:apfinm:v:24:y:2017:i:4:d:10.1007_s10690-017-9232-3 is not listed on IDEAS
- Carol Alexander & Andreza Barbosa, 2005. "The Spider in the Hedge," ICMA Centre Discussion Papers in Finance icma-dp2005-05, Henley Business School, Reading University.
- Longarela, Iñaki R. & Mayoral, Silvia, 2015. "Quote inefficiency in options markets," Journal of Banking & Finance, Elsevier, vol. 55(C), pages 23-36.
- Jiang, George J. & Tian, Yisong S., 2010. "Misreaction or misspecification? A re-examination of volatility anomalies," Journal of Banking & Finance, Elsevier, vol. 34(10), pages 2358-2369, October.
- Brunetti, Marianna & Torricelli, Costanza, 2005. "Put-call parity and cross-markets efficiency in the index options markets: evidence from the Italian market," International Review of Financial Analysis, Elsevier, vol. 14(5), pages 508-532.
- Laurent Deville, 2008. "Exchange Traded Funds: History, Trading and Research," Post-Print halshs-00162223, HAL.
- Woradee Jongadsayakul, 2016. "A Box Spread Test of the SET50 Index Options Market Efficiency: Evidence from the Thailand Futures Exchange," International Journal of Economics and Financial Issues, Econjournals, vol. 6(4), pages 1744-1749.
More about this item
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:jbfina:v:25:y:2001:i:9:p:1607-1634. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dana Niculescu). General contact details of provider: http://www.elsevier.com/locate/jbf .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.