Price disagreements and adjustments in index derivatives markets

Doojin Ryu and Heejin Yang

Economics Letters, 2017, vol. 151, issue C, 104-106

Abstract: We examine whether index futures and options markets disagree with regard to their underlying spot prices and the mechanism whereby futures and options prices adjust to eliminate the price disagreements by comparing the actual and option-implied futures prices. The analysis of the microstructure dataset indicates that the price disagreement rates between the two markets are relatively low and both futures and options prices are adjusted in the case of disagreements.

Keywords: Cost-of-carry; KOSPI200 futures and options; Price adjustment; Price disagreement; Put–call parity (search for similar items in EconPapers)
JEL-codes: G13 G14 G19 (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (14)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:151:y:2017:i:c:p:104-106

DOI: 10.1016/j.econlet.2016.12.016

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