Keywords: cost-of-carry; domestic investor; market efficiency; noise trading; price adjustment; price disagreement; put-call parity
JEL Classifications: G13, G14, G15
학회소식
[2019년 제 1차] Noise Traders, Mispricing, and Price Adjustments in Derivatives Markets
작성자 : 관리자
조회수 : 53
게시일 :
2019-02-26
This study examines price disagreements and adjustments between actual futures prices and optionsimplied
futures prices in an elaborate setting. We identify which market triggers each type of price
disagreement and find that the market that initiates the disagreement adjusts more to eliminate the
mispricing. Futures prices adjust less for options-initiated price disagreement events with out-of-themoney
(OTM) options-implied prices than they do for events with at-the-money (ATM) prices. Options
markets adjust more for disagreements initiated by OTM options than they do for disagreements
initiated by ATM options. Adjustments in both the futures and options markets consistently suggest the
information inferiority of OTM options trading. We also find that price disagreements are positively
correlated with the participation of domestic investors, especially for OTM options-initiated
disagreement events, implying that domestic traders are noisier and more uninformed than foreign
investors are.
