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Pricing efficiency and arbitrage: Hong Kong derivatives markets revisited
Zhang,Zhihua; Lai,Rose Neng
2006-11-01
Source PublicationApplied Financial Economics
ISSN14664305 09603107
Volume16Issue:16Pages:1185-1198
Abstract

This study updates the issue of arbitrage and joint market efficiency of the Hong Kong derivatives markets from three aspects: (1) put-call-futures parity is tested on a much more recent and larger data set (2002-2004); (2) the period covers several major events that exert remarkable shocks to the economy; and (3) the data set is generated from the more mature markets. Contradicting previous researches which conclude that the markets are theoretically efficient, our findings suggest that the put-call-futures parity is violated. However, ex-post and ex-ante tests indicate that although arbitrage opportunities indeed exist, profit magnitudes are not attractive. We therefore conclude that these markets are efficiently priced, albeit theoretically inefficient.

DOIhttp:/dx.doi.org/10.1080/09603100500447552
URLView the original
Indexed BySSCI ; SSCI
Language英语
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Document TypeJournal article
CollectionDEPARTMENT OF FINANCE AND BUSINESS ECONOMICS
AffiliationFaculty of Business Administration,University of Macau,,Macao
First Author AffilicationFaculty of Business Administration
Recommended Citation
GB/T 7714
Zhang,Zhihua,Lai,Rose Neng. Pricing efficiency and arbitrage: Hong Kong derivatives markets revisited[J]. Applied Financial Economics,2006,16(16):1185-1198.
APA Zhang,Zhihua,&Lai,Rose Neng.(2006).Pricing efficiency and arbitrage: Hong Kong derivatives markets revisited.Applied Financial Economics,16(16),1185-1198.
MLA Zhang,Zhihua,et al."Pricing efficiency and arbitrage: Hong Kong derivatives markets revisited".Applied Financial Economics 16.16(2006):1185-1198.
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