Journal of Finance Vol. 40 No. 2 1985
Empirical Tests of Boundary Conditions for Toronto Stock Exchange Options
Abstract
Using option and stock transaction data for the period 1978–1979, three issues were investigated: first, the conformance of observed prices to various boundary conditions; second, the evolution of the market over time, as the volume of trading and the number of listed options increased; and third, to test the efficiency of the market. It was found that violations did occur. Using a trading rule based on the signal of observed violations, the results suggest that even after transaction costs the market was inefficient over the sample period.
- DOI
- 10.2307/2327896
- Volume
- 40
- Issue
- 2
- Pages
- 481
- Sources
- openalex crossref