標題: Arbitrage opportunities, liquidity provision, and trader types in an index option market
作者: Chen, Chin-Ho
Chiu, Junmao
Chung, Huimin
資訊管理與財務金融系 註:原資管所+財金所
Department of Information Management and Finance
關鍵字: arbitrage;liquidity provision;put-call futures parity
公開日期: 1-Jan-1970
摘要: This study examines the impact of arbitrage in put-call futures parity (PCFP) violations on option market liquidity and explores the liquidity provision process by trader type during periods of arbitrage exploitation. Using a unique data set comprising the complete history of transactions, we find that PCFP violations contain toxic arbitrage opportunities. Hence, more frequent toxic arbitrage opportunities can cause liquidity to deteriorate because arbitrageurs create adverse selection costs and order imbalances in the option market. In addition, when the law of one price breaks down, market makers dominate by providing liquidity compared with individual, domestic, and foreign institutional traders.
URI: http://dx.doi.org/10.1002/fut.22077
http://hdl.handle.net/11536/153389
ISSN: 0270-7314
DOI: 10.1002/fut.22077
期刊: JOURNAL OF FUTURES MARKETS
起始頁: 0
結束頁: 0
Appears in Collections:Articles