IDEAS home Printed from https://ideas.repec.org/p/arx/papers/2604.19605.html

Tuning in to Frequencies: How Global Assets Align with U.S. Put-Call Parity Residuals

Author

Listed:
  • Useong Shin

Abstract

Put-call parity is risk-neutral at terminal payoff, but its enforcement is path-dependent and capital-using. I test whether the SPX and RUT carry gap is explained by OIS-based funding, volatility, trading-friction, and financial-condition variables, or also by residual outside-option information. Adding IEFA, IGOV, and IAU improves in-sample and leave-one-year-out fit after U.S.-centered controls. Gains survive broad-dollar neutralization, alternative blocks, PCA, residualization, and nested horizon selection. Results support reduced-form P-Q alignment: finite-capital parity enforcement reflects physical-measure investment opportunities, not payoff-level no-arbitrage failure.

Suggested Citation

  • Useong Shin, 2026. "Tuning in to Frequencies: How Global Assets Align with U.S. Put-Call Parity Residuals," Papers 2604.19605, arXiv.org, revised May 2026.
    • Handle: RePEc:arx:papers:2604.19605
    as

    Download full text from publisher

    File URL: https://arxiv.org/pdf/2604.19605
    File Function: Latest version
    Download Restriction: no
    ---><---

    More about this item

    Statistics

    Access and download statistics

    Corrections

    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:arx:papers:2604.19605. See general information about how to correct material in RePEc.

    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 bibliographic 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.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: arXiv administrators (email available below). General contact details of provider: https://arxiv.org/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.