選擇權市場是有效率的嗎？一般化頻譜分析檢定下的證據;Is Options Market Efficient? Evidence from Generalized Spectral Tests

NCUIR > School of Management at National Central University > Department of Finance > Research Project > Item 987654321/62845

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Title:	選擇權市場是有效率的嗎？一般化頻譜分析檢定下的證據;Is Options Market Efficient? Evidence from Generalized Spectral Tests
Authors:	黃泓人
Contributors:	國立中央大學財務金融學系
Keywords:	財政（含金融;保險）
Date:	2012-12-01
Issue Date:	2014-03-17 14:05:44 (UTC+8)
Publisher:	行政院國家科學委員會
Abstract:	研究期間：10108~10207;This research applies Hong (1999)’s Generalized Spectral Tests to examine the market efficiency of S&P 500 index options market. We follow Jiang and Tian (2011) and use the forward model-free variances of option contracts as the sample to conduct our market efficiency test. Hong (1999) approach can detect a variety of time-series dependence and therefore can greatly outperform the traditional market efficiency tests introduced in Campbell et.al. (1998). Hence, this research can provide more accurate evidences on options market efficiency.
Relation:	財團法人國家實驗研究院科技政策研究與資訊中心
Appears in Collections:	[Department of Finance] Research Project

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