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dc.contributor.authorBiao Guozh_CN
dc.contributor.authorQian Hanzh_CN
dc.contributor.authorDoojin Ryuzh_CN
dc.date.accessioned2013-11-08T08:21:35Z
dc.date.available2013-11-08T08:21:35Z
dc.date.issued2013-11-08
dc.identifier.urihttps://dspace.xmu.edu.cn/handle/2288/56950
dc.description.abstractA number of studies on the S&P 500 index options market claim that the no arbitrage assumption cannot be rejected for this market because either the martingale restriction defined in Longstaff (1995) cannot be rejected by the data, or, even when it is rejected, a large proportion of the violation can be explained by market friction factors. The present study singles out the effect of market inefficiency from market friction by testing the martingale restriction for the KOSPI 200 index options market, which is the most liquid and active options market in the world. Not only using the parametric methods adopted in previous studies but also using the nonparametric methods which enable us to avoid the model misspecification problem, we empirically present clear evidence of a violation of the martingale restriction. In addition, in contrast to the S&P 500 options market, regression analyses and robustness tests indicate that market friction factors can explain only a small portion of the percentage differences between option-implied and market-observed index prices. Overall, the results do not support the basic no-arbitrage assumption or the market efficiency in the KOSPI 200 options market.zh_CN
dc.language.isozhzh_CN
dc.source.urihttp://www.wise.xmu.edu.cn/paperInfor.asp?id=253zh_CN
dc.subjectMartingale Restrictionzh_CN
dc.subjectNonparametric Testzh_CN
dc.subjectArbitragezh_CN
dc.subjectRisk-Neutral Densityzh_CN
dc.subjectKOSPI 200 Options zh_CN
dc.titleIs the KOSPI 200 Options Market Efficient? Parametric and Nonparametric Tests of the Martingale Restrictionzh_CN
dc.typeArticlezh_CN
dc.description.noteThis paper is accepted by Journal of Futures Markets.zh_CN


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