Empirical Tests of Boundary Conditions for Toronto Stock Exchange Options
利用1978-1979年期权和股票交易数据，检验价格是否满足边界条件、市场随交易量增长如何演变以及市场效率，发现存在违规且市场在考虑交易成本后仍无效。
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.