Download or read book The Arbitrage Efficiency of Nikkei 225 Options Market written by Steven Li and published by . This book was released on 2006 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Download or read book Arbitrage Opportunities in Nikkei 225 Options Market written by Yingdong Luo and published by . This book was released on 2007 with total page 82 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Arbitrage Opportunities in the Nikkei Spot and Futures Markets written by Menachem Brenner and published by . This book was released on 1987 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Arbitrage Efficiency of Nikkei 225 Option Market written by Steven Li and published by . This book was released on 2006 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Bid ask Spread and Arbitrage Profitability written by Kee-hong Bae and published by . This book was released on 1996 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Index Options futures Arbitrage written by Joseph K. W. Fung and published by . This book was released on 2000 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Stock Index Futures written by Charles M.S. Sutcliffe and published by Routledge. This book was released on 2018-01-18 with total page 844 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Download or read book Arbitrage and Efficiency in the Stock Index Futures and Options Markets written by Joel Stuart Sternberg and published by . This book was released on 1988 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Bid Ask Spread and Arbitrage Profitability written by Kee-Hong Bae and published by . This book was released on 1998 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This study utilizes both real-time transaction prices and bid-ask quotes in evaluating the profitability of arbitrage strategies for the Hong Kong index futures and index options market. Taking into account the bid-ask spread in identifying arbitrage opportunities, we avoid the selection bias problem associated with using transaction prices. The percentage of observations violating no-arbitrage bounds is significantly reduced when we employ bid-ask quotes instead of transaction prices. This suggests that studies which implement arbitrage strategies based on transaction prices employ prices from the wrong side of the spread. We find a relationship between the frequency of violations (evaluated from transaction prices) and the size of bid-ask spreads in the futures and options markets. This indicates that a larger mispricing, which may arise when the bid-ask spread is wider, does not necessarily imply profitable arbitrage opportunity.

Download or read book Arbitrage Opportunities Test of S P TSE 60 Index Options Market written by Lei Wang and published by . This book was released on 2004 with total page 262 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Arbitraging Japan written by Hirokazu Miyazaki and published by Univ of California Press. This book was released on 2013 with total page 212 pages. Available in PDF, EPUB and Kindle. Book excerpt: Shakespearean arbitrage -- Between arbitrage and speculation -- Trading on the limits of learning -- Economy of dreams -- The last dream -- From arbitrage to the gift

Download or read book Arbitrage Opportunities on the ODAX Options Market written by David Ardia and published by . This book was released on 2018 with total page 10 pages. Available in PDF, EPUB and Kindle. Book excerpt: This article analyses the arbitrage opportunities on the ODAX options market in an intra-daily framework. Tests are based on the prices' lower boundary and on the put-call parity. We consider the futures price for the underlying and the bid-ask spread in order to diminish the synchronisation bias and integrate transaction costs. Our results exhibit a small number of violations. Furthermore, the potential gains are not substantial for market-makers.

Download or read book On the Arbitrage free Pricing Relationships Between Major Market Index Options and Stock Options Written on the Underlying Equity Issues written by Joseph K. W. Fung and published by . This book was released on 1995 with total page 12 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Financial Derivatives Markets And Applications Fifth Edition written by Obiyathulla Ismath Bacha and published by World Scientific. This book was released on 2022-12-14 with total page 558 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is designed for beginners who possess no previous knowledge or familiarity with derivatives. Written in an easy-to-read style, it guides readers through the challenging and complex world of forwards, futures, options, and swaps. The emphasis on Asian markets and contracts enables easier understanding. Financial derivative contracts from Malaysia and select contracts from Thailand, Singapore, and Hong Kong derivative markets are covered. For each derivative contract, their three common applications hedging, arbitrage, and speculating are shown with fully worked out examples. Extensive use of illustrations, graphics, and vignettes provide for easy comprehension of the underlying logic of derivatives.

Download or read book Fundamentals of Futures and options markets written by John Hull and published by Pearson Higher Education AU. This book was released on 2013-09-12 with total page 577 pages. Available in PDF, EPUB and Kindle. Book excerpt: This first Australasian edition of Hull’s bestselling Fundamentals of Futures and Options Markets was adapted for the Australian market by a local team of respected academics. Important local content distinguishes the Australasian edition from the US edition, including the unique financial instruments commonly traded on the Australian securities and derivatives markets and their surrounding conventions. In addition, the inclusion of Australasian and international business examples makes this text the most relevant and useful resource available to Finance students today. Hull presents an accessible and student-friendly overview of the topic without the use of calculus and is ideal for those with a limited background in mathematics. Packed with numerical examples and accounts of real-life situations, this text effectively guides students through the material while helping them prepare for the working world. For undergraduate and post-graduate courses in derivatives, options and futures, financial engineering, financial mathematics, and risk management.

Download or read book Bank of Japan Monetary and Economic Studies written by and published by . This book was released on 2006 with total page 138 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Monetary and Economic Studies written by and published by . This book was released on 2006 with total page 516 pages. Available in PDF, EPUB and Kindle. Book excerpt: