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The cross-market efficiency of the Italian derivatives market
Review of Accounting and Finance ( IF 3.6 ) Pub Date : 2020-04-01 , DOI: 10.1108/raf-11-2016-0184
Izidin El Kalak , Robert Hudson

Purpose

This study aims to examine the cross-market efficiency of the FTSE/MIB index options contracts traded on the Italian derivatives market (IDEM) during a period including the financial crisis between 1st October 2007 and 31st December 2012 using daily option prices.

Design/methodology/approach

Two fundamental no-arbitrage conditions were tested: the lower boundary condition (LBC) and the put–call parity (PCP) condition while taking into account the role of transaction costs in mitigating the number of violations reported. Ex post tests of LBC and PCP revealed a low incidence of mispricing in this market. Furthermore, to check the robustness of the results obtained by the ex post tests, ex ante tests were applied to PCP violations occurring within a one-day lag.

Findings

The results showed a significant drop in the number of profitable arbitrage strategies. The findings obtained from all these tests generally support the cross-market efficiency of the Italian index options market during the sample period, though some violations were occasionally reported. Overall, the number and monetary value of the violations reported declined during the post-financial crisis period compared to those during the financial crisis period.

Research limitations/implications

This study can be extended to test the relationships between arbitrage profitability and other factors such as the moneyness (in the money, out of the money, at the money) of options and the maturity of options. Options market efficiency tests can be conducted such as call and put spreads, box spreads and put/call convexities (butterfly spreads).

Originality/value

There are several factors that influenced the decision to test the Italian index options market. First, the limited number of studies conducted on this market. Second, the fact that the two main studies on this market are relatively old, which makes it interesting to test the efficiency of this market with respect to a new set of data, taking into account the introduction of the Euro and the impact of the recent financial crisis on this market and whether the market efficiency hypothesis holds during the period of crisis. Third, it is important to consider the effect of the new rules applied to this market.



中文翻译:

意大利衍生品市场的跨市场效率

目的

这项研究的目的是使用每日期权价格来检查在2007年10月1日至2012年12月31日期间的金融危机期间,在意大利衍生品市场(IDEM)上交易的FTSE / MIB指数期权合约的跨市场效率。

设计/方法/方法

测试了两个基本的非套利条件:下边界条件(LBC)和看跌平价(PCP)条件,同时考虑了交易成本在减轻举报违规次数方面的作用。LBC和PCP的事后测试表明,该市场中错误定价的发生率较低。此外,为了检查事后测试所获得结果的稳健性,事前测试适用于在一天的延迟内发生的PCP违规。

发现

结果显示,套利策略的数量大大减少。从所有这些测试中获得的结果通常都支持抽样期间意大利指数期权市场的跨市场效率,尽管偶尔会报告一些违规情况。总体而言,与金融危机时期相比,在金融危机后时期报告的违规行为的数量和货币价值有所下降。

研究局限/意义

该研究可以扩展到检验套利获利能力与其他因素之间的关系,例如,期权的货币性(入金,出钱,出钱)和期权的到期日。可以进行期权市场效率测试,例如看涨期权和看跌期权价差,箱式价差和看跌期权/看涨期权凸率(蝴蝶价差)。

创意/价值

有几个因素影响了测试意大利指数期权市场的决定。首先,在这个市场上进行的研究数量有限。其次,关于该市场的两项主要研究相对较早,这一事实使得考虑到欧元的引入和近期的影响,以一套新的数据来检验该市场的效率很有趣。该市场的金融危机以及危机期间市场效率假说是否成立。第三,重要的是要考虑适用于该市场的新规则的影响。

更新日期:2020-04-01
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