Box Spread Arbitrage Profits following the 1987 Market Crash: Real or Illusory?
利用标普500指数欧式期权的箱式套利策略，检验1987年市场崩盘前后的市场效率。崩盘后套利机会频繁且模拟交易盈利，但利润真实性取决于报价假设，两种情形均表明市场效率下降。
We examine market efficiency before and after the 1987 Market Crash using the box spread strategy implemented with European-style S&P 500 Index (SPX) options. Before the Crash, apparent arbitrage opportunities were rare and simulated trades were unprofitable assuming a one-minute execution delay. After the Crash, apparent arbitrage opportunities were frequent and simulated trades were profitable even assuming a five-minute execution delay. Our analysis makes the routine assumption that quotes are good until updated to construct a time series of prevailing quotes sampled at 30-second intervals. If this assumption is valid, then arbitrage profits were actually available. If this assumption is invalid, then such profits could have been illusory. Either scenario, however, implies that SPX market efficiency decreased following the Crash—prevailing price quotes repeatedly failed to satisfy the fundamental parity relation underlying the box spread.