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。
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.
出处
《科学技术与工程》
2009年第11期3158-3161,共4页
Science Technology and Engineering
关键词
盒式套利
牛市套利
熊市套利
市场有效性
box spread bull spread bear soread efficient market hypothesis
