Changes in the options contract size and arbitrage opportunities
研究了期权乘数变化对市场效率的影响，发现提高或降低乘数都会显著增加套利机会的频率和概率，且提高乘数还会延长套利持续时间和扩大日均套利规模，表明此类改革并未提升市场效率。
Abstract We examine the impacts of changes to the options multiplier on market efficiency by analyzing their effects on arbitrage proxies based on the performance of options spread strategies. Despite the intentions of the reforms, both decisions to raise and reduce the multiplier significantly increase the frequency and probability of arbitrage opportunities. Whereas the increment in the multiplier also deteriorates market efficiency by increasing the duration and average size of the arbitrage opportunities in a day, the decrement does not affect these proxies. Our results overall provide evidence that reforms to the options multiplier do not enhance market efficiency and suggest that retail investors are not homogeneously noisy.