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Changes in the options contract size and arbitrage opportunities

Song, Joonhyuk; Ryu, Doojin; Yu, Jinyoung - In: The journal of futures markets 43 (2023) 1, pp. 122-137

Persistent link: https://www.econbiz.de/10013465898

Testing market efficiency using lower boundary conditions of Indian options market

Kumar, Atul; Raman, T. V. - In: International journal of applied business and economic … 15 (2017) 1, pp. 55-65

Persistent link: https://www.econbiz.de/10011672868

Pairs trading in the index options market

Brunetti, Marianna; De Luca, Roberta - In: Eurasian economic review : a journal in applied … 13 (2023) 1, pp. 145-173

Persistent link: https://www.econbiz.de/10014252894

A study of abitrage efficiency between the FTSE-100 Index futures and options contracts

Draper, Paul R.; Fung, Joseph K. W. - In: The journal of futures markets 22 (2002) 1, pp. 31-58

Persistent link: https://www.econbiz.de/10001646594

An empirical test of market efficiency of Indian index options market using the Black-Scholes model and dynamic hedging strategy

Mohanti, Debaditya; Priyan, P. K. - In: Paradigm : the journal of Institute of Management Technology 18 (2014) 2, pp. 221-237

Persistent link: https://www.econbiz.de/10011760603

Intraday information from S&P 500 index futures options

Lim, Kian-Guan; Chen, Ying; Yap, Nelson K. L. - In: Journal of financial markets 42 (2019), pp. 29-55

Persistent link: https://www.econbiz.de/10012316256

Pairs trading in the index options market

Brunetti, Marianna; De Luca, Roberta - 2021 - This version: March 2021

Persistent link: https://www.econbiz.de/10013256318

Does market efficiency matter for Shanghai 50 ETF index options?

Hoque, Ariful; Le, Thi; Hasan, Morshadul; Abedin, … - In: Research in international business and finance 67 (2024) 2, pp. 1-9

Persistent link: https://www.econbiz.de/10014451551

Convergence to efficiency in FTSE-100 futures market

Lien, Da-hsiang Donald; Xiang, Ju - In: International journal of financial markets and derivatives 1 (2010) 3, pp. 243-257

Persistent link: https://www.econbiz.de/10008665689

Convergence to Efficiency in FTSE-100 Futures Market

Xiang, Ju - 2011

We conduct efficiency test using the conventional method in Chordia, Roll, and Subrahmanyam (2005) and the wavelet analysis. For the FTSE-100 futures data from January 2001 through December 2004, both approaches identify that, conditional on order imbalance, it takes about 10 minutes for the...

Persistent link: https://www.econbiz.de/10013131093