| 指数期权市场套利存在性的实证研究 |
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| 引用本文： | 施利斌,栾长福.指数期权市场套利存在性的实证研究[J].科学技术与工程,2009,9(11). |
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| 作者姓名： | 施利斌 栾长福 |
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| 作者单位： | 华南理工大学数学科学学院,广州,510640 |
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| 摘 要： | 有效市场假设资本市场是完美的,证券的价格会立即反映所有的信息,任何投资组合经理人或是个人投资者都不可能找到套利机会,以赚取优于期权市场的持续异常报酬.文中采用事后测试套利方法和盈利能力的回归分析研究和论证套利利润是否存在于亚洲的期权市场以及期权市场是低效率性.
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| 关 键 词： | 盒式套利 牛市套利 熊市套利 市场有效性 |
Arbitrage Opportunities in Options Market |
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| SHI Li-bin,LUAN Chang-fu.Arbitrage Opportunities in Options Market[J].Science Technology and Engineering,2009,9(11). |
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| Authors: | SHI Li-bin LUAN Chang-fu |
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| Institution: | School of Mathematical Sciences;South ChinaUniversity of Technology;Guangzhou 510640;P.R.China |
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| Abstract: | Efficient market hypothesis says the capital market is perfect.The securities' prices will reflect all information immediately.Neither portfolio managers nor individual investors have any arbitrage opportunity.They can not earn continuous abnormal return and outperform the options market.Expost test of arbitrage and regression analysis of profitability are emploed to examine whether the arbitrage profit exists in options market(Asia's) and the options market is inefficient. |
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| Keywords: | box spread bull spread bear soread efficient market hypothesis |
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