Transactions data tests of efficiency of the Chicago board options exchange
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- ap Gwilym, Owain & Thomas, Stephen, 2002. "An empirical comparison of quoted and implied bid-ask spreads on futures contracts," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 12(1), pages 81-99, February.
- Kenneth Oliven & Thomas A. Rietz, 2004. "Suckers Are Born but Markets Are Made: Individual Rationality, Arbitrage, and Market Efficiency on an Electronic Futures Market," Management Science, INFORMS, vol. 50(3), pages 336-351, March.
- Don M. Chance, 1988. "Boundary Condition Tests Of Bid And Ask Prices Of Index Call Options," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 11(1), pages 21-31, March.
- David S. Bates, 1995. "Testing Option Pricing Models," NBER Working Papers 5129, National Bureau of Economic Research, Inc.
- Lippert, Robert L. & Porter, Gayle, 1997. "Understanding CEO pay: A test of two pay-to-performance sensitivity measures with alternative measures of alignment and influence," Journal of Business Research, Elsevier, vol. 40(2), pages 127-138, October.
- Fernando Rubio, 2005. "Eficiencia De Mercado, Administracion De Carteras De Fondos Y Behavioural Finance," Finance 0503028, EconWPA, revised 23 Jul 2005.
- Park, Cheol-Ho & Irwin, Scott H., 2004.
"The Profitability Of Technical Trading Rules In Us Futures Markets: A Data Snooping Free Test,"
2004 Conference, April 19-20, 2004, St. Louis, Missouri
19011, NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
- Park, Cheol-Ho & Irwin, Scott H., 2005. "The Profitability of Technical Trading Rules in US Futures Markets: A Data Snooping Free Test," AgMAS Project Research Reports 14771, University of Illinois at Urbana-Champaign, Department of Agricultural and Consumer Economics.
- Carlos A. Ulibarri & Peter C. Anselmo & Karen Hovespian & Jacob Tolk & Ionut Florescu, 2009.
"'Noise-trader risk' and Bayesian market making in FX derivatives: rolling loaded dice?,"
International Journal of Finance & Economics,
John Wiley & Sons, Ltd., vol. 14(3), pages 268-279.
- Carlos A. Ulibarri & Peter C. Anselmo & Karen Hovsepian & Jacob Tolk & Ionut Florescu, 2009. "'Noise-trader risk' and Bayesian market making in FX derivatives: rolling loaded dice?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 14(3), pages 1-1.
- Ulibarri, Carlos A. & Anselmo, Peter & Hovsepian, Karen & Florescu, Ionut & Tolk, Jacob, 2008. "'Noise trader risk' and Bayesian market making in FX derivatives: rolling loaded dice?," MPRA Paper 14814, University Library of Munich, Germany.
- Poon, Winnie P. H. & Duett, Edwin H., 1998. "An empirical examination of currency futures options under stochastic interest rates," Global Finance Journal, Elsevier, vol. 9(1), pages 29-50.
- Edgardo E. Zablotsky, 2001. "Eficiencia del mercado de Capitales. Una ilustración," CEMA Working Papers: Serie Documentos de Trabajo. 194, Universidad del CEMA.
- Bryant, Henry L. & Haigh, Michael S., 2002. "Bid-Ask Spreads In Commodity Futures Markets," Working Papers 28587, University of Maryland, Department of Agricultural and Resource Economics.
- Vesa Puttonen, 1992. "On the behaviour of the Finnish stock index options markets," Finnish Economic Papers, Finnish Economic Association, vol. 5(2), pages 117-128, Autumn.
- Alan L. Tucker, 1985. "Empirical Tests Of The Efficiency Of The Currency Option Market," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 8(4), pages 275-285, December.
- John R. Ezzell & James A. Miles & J. Harold Mulherin, 2001. "Is there Really a When-Issued Premium?," Claremont Colleges Working Papers 2001-34, Claremont Colleges.
- Linda S. Klein & David R. Peterson, 1988. "Investor Expectations Of Volatility Increases Around Large Stock Splits As Implied In Call Option Premia," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 11(1), pages 71-80, March.
- 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.
- Anand, Amber & Karagozoglu, Ahmet K., 2006. "Relative performance of bid-ask spread estimators: Futures market evidence," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 16(3), pages 231-245, July.
- Hoque, Ariful & Chan, Felix & Manzur, Meher, 2008. "Efficiency of the foreign currency options market," Global Finance Journal, Elsevier, vol. 19(2), pages 157-170.
- Fernando Rubio, 2005. "Estrategias Cuantitativas De Valor Y Retornos Por Accion De Largo," Finance 0503029, EconWPA.
- Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.
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:jfinec:v:12:y:1983:i:2:p:161-185. 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/inca/505576 .
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.
We have no references for this item. You can help adding them by using this form .
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.