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An analysis of the arbitrage efficiency of the Chinese SSE 50ETF options market

  • Published:2019-01 Issue: Volume:59 Page:474-489
  • ISSN:1059-0560
  • Container-title:International Review of Economics & Finance
  • language:en
  • Short-container-title:International Review of Economics & Finance

Author:

Zhang Huiming,Watada Junzo

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference36 articles.

1. Efficiency in index options markets and trading in stock baskets;Ackert;Journal of Banking & Finance,2001

2. Arbitrage opportunities and efficiency of an emerging option market: The case of KOSPI 200 options in Korea;Ahn,2001

3. Variance based efficiency test of OMX index option market;Ai Jun;European Journal of Finance,2016

4. Derivative markets in emerging economies: A survey;Atilgan;International Review of Economics & Finance,2016

5. Options market efficiency and the box spread strategy;Billingsley;Financial Review,1985

Cited by 13 articles. 订阅此论文施引文献 订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. The Profitability and Arbitrage Efficiency of the Chicago Mercantile Exchange Nikkei 225 Futures;Asia-Pacific Financial Markets;2024-06-05

2. Efficiency of the options market and arbitrage strategy: a meta-analysis;International Journal of Emerging Markets;2024-04-30

3. Does market efficiency matter for Shanghai 50 ETF index options?;Research in International Business and Finance;2024-01

4. Which implied volatilities contain more information? Evidence from China;International Journal of Finance & Economics;2023-01-03

5. The information content of ETF options;Global Finance Journal;2022-08
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