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This study explores the arbitrage profitability of box spread strategies to test the KOSPI200 options market efficiency. using minute-by-minute data for the December 2003 - June 2004 period. The sample consists of 39.445 and 38.318 observations for small discrepancy and large discrepancy in exercise prices. respectively.

In the case of credit box spreads, there were 681 (2%) and 2.293 (6%) arbitrage observations for small and large discrepancies, while debit box spreads showed 831 (2%) and 3.098 (8%) observations for small and large discrepancies. In general, mean profit and median profit were different, and the arbitrage profit varied over time. The time to option expiration did not impact the arbitrage profit.

Also, the arbitrage profit of box spreads was significantly higher on Fridays for large discrepancy, and it varied across weekdays except the case of small-discrepancy debit box spread. Both arbitrage opportunities and profits substantially decreased as execution time increased. Our overall results suggest that the KOSPI200 options market has been efficient.

The paper's aim is to explore the impact of statistical arbitrage and high-frequency trading as hedge fund investment strategies that have a significant impact on the environment of corporations.

The paper is a meta-analysis of the role of investment strategies within complex systems.

The growth of hedge fund investment activity based on statistical arbitrage tends to produce a vulnerability; more funds using the strategy helps to create the profitable outcomes that the strategy relies upon. However, the growth also reduces the time lines of profitability and produces an underlying instability based on overlapping holdings and the use of leverage. The shortened timelines also create a further impetus towards technological competition and promotes high frequency trading, which then introduces further vulnerabilities based on “stop-loss cascades”.

Much of the trading creates a superficial form of liquidity, which gives a limited sense of market vulnerabilities. The basis of complex interactions between high frequency traders is also not clearly understood. Researchers and agents of policy ought to pay greater attention to the issues than is currently the case.

The area is one that is under-researched.

The purpose of this paper is to investigate the strategy that a turnaround in the USA will portend a turnaround in the UK's economy and property market. For this strategy to operate, it is assumed that the capital and property markets in and between the two nations are highly integrated with endogenous pricing functions.

Given the endogenous assumptions of the conjectured research statement, tests of integration (or segmentation) between two capital and property markets are conducted. Correlation, tracking error analysis, and a multiple systematic risk factor model are used to test the pricing relationships. The methodological form employs variant macroeconomic variable pricing models (MVM) of alternative combinations of systematic affects operating across and between the national markets.

Pricing integration is noted between the UK and US capital markets, while the property markets are economically and statistically segmented. Opportunities for arbitrage based on different prices/returns for equivalent risk exposures are statistically observed between the UK and USA. The effect is that systematic pricing between the two markets cannot be addressed solely by diversification options. This infers a potential for arbitrage (statistically, strategically or in practice) is possible, given that systematic risk exposures between the two markets are not equivalently priced across cyclical phases. In this context it is inferred that the probable measure of pricing differences across the two markets is more than a cyclical lag effect.

The paper delineates the degrees of integration/segmentation in the UK and US property and capital markets as a function of systematic risks in changing economic conditions. These differences support the existence of statistical arbitrage and the specification of investment behaviour as a function of differencing pricing expectations. These findings can assist in the formulation of investment and hedging strategies to assist in managing international portfolios subject to cyclical market exposures. This paper contributes to an understanding of and foundation for testing the nature and impact of cycles on property investment performance as a function of pricing changes.

This paper examines the extent to which noise demand and limits of arbitrage affect the pricing of acquirer stocks both at the announcement period and over the longer horizon.

An event study approach was adopted to measure announcement-period cumulative abnormal returns. Long-horizon returns are measured using buy-and-hold abnormal returns (BHARs), calendar time portfolios (CTPRs), and subsequent earnings announcement period abnormal returns. Main methodologies include ordinary least squared (OLS) regressions, Logit regressions, and portfolio analysis.

(1) Acquirer stocks with high idiosyncratic volatility (the proxy for the security level characteristic most directly associated with limits to arbitrage) earn higher announcement-period abnormal returns. (2) The return pattern reverses over the subsequent longer horizon, resembling news-driven transitory mispricing. (3) The mispricing is greater when deal and firm characteristics exacerbate the limits of arbitrage, and it weakens over time. (4) Transactions by higher idiosyncratic volatility acquirers are more likely to fail.

Limits of arbitrage theory have been tested mostly in information-free circumstances. The findings in this paper extend the supporting evidence for limits of arbitrage explaining mispricing beyond the boundaries of information-free circumstances.

The existence of parallel imports (PI) raises a number of interesting policy and strategic questions, which are the subject of this survey article. For example, parallel trade is essentially arbitrage within policy-integrated markets of IPR-protected goods, which may have different prices across countries. Thus, we analyze fully two types of price differences that give rise to such arbitrage. First is simple retail-level trade in horizontal markets because consumer prices may differ. Second is the deeper, and more strategic, issue of vertical pricing within the common distribution organization of an original manufacturer selling its goods through wholesale distributors in different markets. This vertical price control problem presents the IPR-holding firm a menu of strategic choices regarding how to compete with PI. Another strategic question is how the existence of PI might affect incentives of IPR holders to invest in research and development (R&D). The global research-based pharmaceutical firms, for example, strongly oppose any relaxation of restrictions against PI of drugs into the United States, arguing that the potential reduction in profits would diminish their ability to innovate. There is a close linkage here with price controls for medicines, which are a key component of national health policies but can give rise to arbitrage through PI. We also discuss the complex economic relationships between PI and other forms of competition policy, or attempts to limit the abuse of market power offered by patents and copyrights. Finally, we review the emerging literature on how policies governing PI may affect international trade agreements.

The purpose of this paper is to examine the risk of inefficiency of China's stock index futures market by investigating the opportunity and profitability of exchange‐traded fund (ETF) arbitrage. The explanation of behavioral risk to market efficiency is examined.

Based on cost‐of‐carry model, some assumptions about market efficiency were examined, and statistical tests were implemented to support the findings.

In China, borrowing and lending interest rates are quite different; dividends are small and paid in an irregular manner; and short sale cannot be used in arbitrage by all investors. It is found that the Chinese index futures market is far from efficient.

With reference to the empirical study, this is believed to be the first application of behavioral study to the study of market efficiency. The analysis of the statistics about Chinese index futures market and the algorithm parameters are very valuable for in‐depth understanding of the emerging markets.

Using volatility cones as the estimate of actual volatility instead of GARCH models, the purpose of this paper is to explore whether volatility arbitrage strategy can provide positive profits and how the transaction costs existed in the real market affect the effectiveness of volatility arbitrage strategy.

A number of hedging approaches proposed to improve the hedging results and final returns of Black-Scholes model are analyzed and compared.

The general finding is that volatility arbitrage strategy can provide satisfactory returns based on the samples in Chinese market. Regarding transaction costs, the variable bandwidth delta and delta tolerance approach showed better results. Besides, choosing futures together with ETFs as hedging underlying can increase the VaR for better risk management.

This paper offers a new method for volatility arbitrage in Chinese financial market.

This paper researches the profitability of the volatility arbitrage strategy on ETF 50 options using volatility cones method for the first time. This method has advantage over the point-wise estimation such as GARCH model and stochastic volatility model.

We investigate the frequency of arbitrage opportunities and the size of their profits in the options and futures markets of KOSPI200 index. A thread of existing studies shows that these opportunities arise frequently, albeit the frequency is decreasing as the market matures. These studies, however, use transaction data in their analysis. Using the transaction data tends to overestimate both the frequency and the size of arbitrage gains, since it ignores the transactions cost imbedded in the bid-ask spread. In this study, we use the quote data to correctly reflect the transactions cost in executing the trades to take advantage of an arbitrage opportunity. By using the data spanning the period from Sep. 3, 2001 to Mar. 29. 2002, we show that both the frequency and size of arbitrage gains are much smaller than those when transaction data are used instead of Quote data. We also find that the Individual traders are the primary source that provide the arbitrage opportunities.

The purpose of this paper is to empirically analyze the “market-neutral” characteristics of the market-neutral strategy hedge funds in Chinese A-share market.

The analyses in the paper are conducted to study the market-neutral characteristics by means of index analysis, correlation analysis, β-neutral analysis and the three-factor model analysis.

The results show that the performance advantage of the market-neutral strategy hedge funds is obvious. Most market-neutral strategy funds are exposed to market risks and the α strategy funds also have obvious style factor exposure; strictly speaking, all of the market-neutral strategies have not reached the “market-neutral” requirements. This paper also finds that Chinese trading restrictions on stock index futures in September 2015 have a significant impact on Chinese market-neutral strategy hedge funds.

The conclusion of this paper has a certain reference value for understanding the risk characteristics and possible problems of hedge funds in emerging markets, and also has important reference value for investors.

This study explores the arbitrage profitability of the KOSPI200 futures spread, using intraday data during 10 days prior to the expiration day of each contract for the 9/3/2001 ∼ 6/912005 period. The theoretical frameworks for arbitrage strategies were developed for the analysis. Our results show that 97.36% of the total 8.633 observations were fairly priced. 1.46% (126 observations) were underpriced, and 1.18% (102 observations) were overpriced, in the ex post arbitrage profitability analysis between the futures spread and the calendar spread. Also, in the arbitrage profitability analysis based on the mispricing of the KOSPI200 futures spread against the theoretical price. 90.39% of the total 10.054 observations were fairly priced and 9.61 % (966 observations) were underpriced. There was no overpriced observation. The ajority of those underpriced observations were concentrated in the 3rd Quarter of 2001 and the 1st quarter of 2003. Overall, there were very few arbitrage opportunities except for the introductory period and some contracts with high uncertainty, implying that the KOSPI200 futures spread market has been generally efficient.