The Arbitrage Efficiency Of Nikkei 225 Options Market
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Author | : Steven Li |
Publisher | : |
Total Pages | : 44 |
Release | : 2006 |
Genre | : Arbitrage |
ISBN | : |
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.
Author | : Yingdong Luo |
Publisher | : |
Total Pages | : 82 |
Release | : 2007 |
Genre | : Arbitrage |
ISBN | : |
Author | : |
Publisher | : |
Total Pages | : 170 |
Release | : 1994 |
Genre | : |
ISBN | : |
Author | : Steven Li |
Publisher | : |
Total Pages | : 35 |
Release | : 2005 |
Genre | : Arbitrage |
ISBN | : |
Author | : Steven Li |
Publisher | : |
Total Pages | : 0 |
Release | : 2005 |
Genre | : Arbitrage |
ISBN | : |
Author | : Joel S. Sternberg |
Publisher | : |
Total Pages | : 172 |
Release | : 1986 |
Genre | : |
ISBN | : |
Author | : |
Publisher | : |
Total Pages | : 138 |
Release | : 2006 |
Genre | : Finance |
ISBN | : |
Author | : |
Publisher | : |
Total Pages | : 522 |
Release | : 2006-03 |
Genre | : Finance |
ISBN | : |
Author | : Charles M.S. Sutcliffe |
Publisher | : Routledge |
Total Pages | : 534 |
Release | : 2018-01-18 |
Genre | : Business & Economics |
ISBN | : 1351148559 |
The global value of trading in index futures is about $20 trillion per year and rising and for many countries the value traded is similar to that traded on their stock markets. This book describes how index futures markets work and clearly summarises the substantial body of international empirical evidence relating to these markets. Using the concepts and tools of finance, the book also provides a comprehensive description of the economic forces that underlie trading in index futures. Stock Index Futures 3/e contains many teaching and learning aids including numerous examples, a glossary, essay questions, comprehensive references, and a detailed subject index. Written primarily for advanced undergraduate and postgraduate students, this text will also be useful to researchers and market participants who want to gain a better understanding of these markets.
Author | : Hirokazu Miyazaki |
Publisher | : Univ of California Press |
Total Pages | : 212 |
Release | : 2013 |
Genre | : Business & Economics |
ISBN | : 0520273486 |
Shakespearean arbitrage -- Between arbitrage and speculation -- Trading on the limits of learning -- Economy of dreams -- The last dream -- From arbitrage to the gift