Measuring Pricing Inefficiencies Under Stressful Market Conditions
研究香港恒生指数期货与期权在压力市场条件下的错误定价和套利交易间隔，发现压力市场和下跌市场中流动性提供者更不愿与知情交易者交易，导致交易间隔延长和套利利润增加。
This study examines the mispricing and time between arbitrage trades of the Hong Kong Hang Seng index futures and index options contracts under various stressed market conditions. Ex‐ante trading profits and differences in time between trades across up and down as well as stressed and non‐stressed markets are used to measure how well the derivative markets perform under emotional distress. We find evidence of illiquidity in stressed and down markets. In stressful markets and down markets, liquidity suppliers are less likely to trade against the informed traders. This, in turn, leads to longer time between trades and higher arbitrage profits.