No Cover Image

Journal article 330 views 77 downloads

Does market efficiency matter for Shanghai 50 ETF index options?

Ariful Hoque, Thi Le, Morshadul Hasan, Abedin Abedin

Research in International Business and Finance, Volume: 67, Start page: 102129

Swansea University Author: Abedin Abedin

  • 64761.VOR.pdf

    PDF | Version of Record

    Crown Copyright © 2023 Published by Elsevier B.V. Distributed under the terms of a Creative Commons Attribution 4.0 International License (CC BY 4.0).

    Download (446.33KB)

Check full text

DOI (Published version): 10.1016/j.ribaf.2023.102129

Abstract

This study aims to measure Shanghai 50 Exchange-Traded Fund (SSE 50 ETF) index options efficiency for trading in different periods of a trading day. We use an econometric model of put-call-parity to test the market efficiency for three moneyness situations: call at-the-money and put at-the-money, ca...

Full description

Published in: Research in International Business and Finance
ISSN: 0275-5319 1878-3384
Published: Elsevier BV 2024
Online Access: Check full text

URI: https://cronfa.swan.ac.uk/Record/cronfa64761
Tags: Add Tag
No Tags, Be the first to tag this record!
Abstract: This study aims to measure Shanghai 50 Exchange-Traded Fund (SSE 50 ETF) index options efficiency for trading in different periods of a trading day. We use an econometric model of put-call-parity to test the market efficiency for three moneyness situations: call at-the-money and put at-the-money, call in-the-money and put out-of-the-money, call out-of-the-money, and put in-the-money. The SSE 50 ETF index options market is efficient when both call and put options are at-the-money, leading to accurately-priced call and put options. The SSE 50 ETF index options market is inefficient if the call is in-the-money (out-of-the-money) and the put is out-of-the-money (in-the-money). Furthermore, call and put options are over-priced (under-priced) and underpriced (over-priced), respectively, when the SSE 50 ETF index options market is inefficient. Traders can take a long or short position based on call-put option pricing to reduce hedging costs and increase speculative premiums.
Keywords: Options market efficiency, Trading strategy, SSE 50 ETF market efficiency, Put-call parity, Index options
College: Faculty of Humanities and Social Sciences
Funders: Swansea University
Start Page: 102129

Similar Items