所属栏目:资本市场/衍生证券

Is Chinese option market efficient? Evidence from the first exchange-traded option
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发布日期:2022年07月10日 上次修订日期:2022年07月10日

摘要

By testing properties implied by one-dimensional diffusion option pricing models, we find that call (put) prices in the Chinese 50ETF option market move in opposite (same) direction with the underlying between 13.39% and 27.89% (between 12.45% and 33.98%) of the time for 5-minute and 1-day sampling intervals respectively. Given fundamental different investor structures in U.S. and China option markets, we also observe some important unique features in the 50ETF option price dynamics. More importantly, we demonstrate that these striking violations reduce substantially in 2016 compared with those in 2015, indicating that Chinese stock option market becomes more efficient.
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Xingguo Luo Is Chinese option market efficient? Evidence from the first exchange-traded option (2022年07月10日) https://www.cfrn.com.cn/lw/14839.html

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