Transactions data tests of efficiency of the Chicago board options exchange
dc.contributor.author | Bhattacharya, Mihir | en_US |
dc.date.accessioned | 2006-04-07T18:39:49Z | |
dc.date.available | 2006-04-07T18:39:49Z | |
dc.date.issued | 1983-08 | en_US |
dc.identifier.citation | Bhattacharya, Mihir (1983/08)."Transactions data tests of efficiency of the Chicago board options exchange." Journal of Financial Economics 12(2): 161-185. <http://hdl.handle.net/2027.42/25145> | en_US |
dc.identifier.uri | http://www.sciencedirect.com/science/article/B6VBX-46922FH-2/2/dfcae70afa66c1a928fb2b81d6c7c8fa | en_US |
dc.identifier.uri | https://hdl.handle.net/2027.42/25145 | |
dc.description.abstract | This paper performs lower boundary condition tests based on rational pricing of call options and an implied standard deviation test based on the bid/ask prices of options. These efficiency tests attempt to closely approximate conditions in the option markets to avoid the pitfalls indicated by Phillips and Smith (1980). The tests use transactions data and account for the effects of stock and option bid/ask prices, simultaneity of stock and option prices, depth of market, execution lag and transaction costs. The small and relatively infrequent profits due to market mispricing disappear in the lower boundary tests when transaction costs are taken into account. Frequent violations of the tighter boundary conditions in the implied standard deviation test are reported, but the estimated profits cannot be unambiguously attributed to option market inefficiency. | en_US |
dc.format.extent | 1284380 bytes | |
dc.format.extent | 3118 bytes | |
dc.format.mimetype | application/pdf | |
dc.format.mimetype | text/plain | |
dc.language.iso | en_US | |
dc.publisher | Elsevier | en_US |
dc.title | Transactions data tests of efficiency of the Chicago board options exchange | en_US |
dc.type | Article | en_US |
dc.rights.robots | IndexNoFollow | en_US |
dc.subject.hlbsecondlevel | Economics | en_US |
dc.subject.hlbtoplevel | Business | en_US |
dc.description.peerreviewed | Peer Reviewed | en_US |
dc.contributor.affiliationum | The University of Michigan, Ann Arbor, MI 48109, USA | en_US |
dc.description.bitstreamurl | http://deepblue.lib.umich.edu/bitstream/2027.42/25145/1/0000581.pdf | en_US |
dc.identifier.doi | http://dx.doi.org/10.1016/0304-405X(83)90034-X | en_US |
dc.identifier.source | Journal of Financial Economics | en_US |
dc.owningcollname | Interdisciplinary and Peer-Reviewed |
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