Access

You are not currently logged in.

Access your personal account or get JSTOR access through your library or other institution:

login

Log in to your personal account or through your institution.

If You Use a Screen Reader

This content is available through Read Online (Free) program, which relies on page scans. Since scans are not currently available to screen readers, please contact JSTOR User Support for access. We'll provide a PDF copy for your screen reader.

Empirical Tests of Boundary Conditions for Toronto Stock Exchange Options

Paul J. Halpern and Stuart M. Turnbull
The Journal of Finance
Vol. 40, No. 2 (Jun., 1985), pp. 481-500
Published by: Wiley for the American Finance Association
DOI: 10.2307/2327896
Stable URL: http://www.jstor.org/stable/2327896
Page Count: 20
  • Read Online (Free)
  • Download ($33.95)
  • Subscribe ($19.50)
  • Cite this Item
Since scans are not currently available to screen readers, please contact JSTOR User Support for access. We'll provide a PDF copy for your screen reader.
Empirical Tests of Boundary Conditions for Toronto Stock Exchange Options
Preview not available

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.

Page Thumbnails

  • Thumbnail: Page 
481
    481
  • Thumbnail: Page 
482
    482
  • Thumbnail: Page 
483
    483
  • Thumbnail: Page 
484
    484
  • Thumbnail: Page 
485
    485
  • Thumbnail: Page 
486
    486
  • Thumbnail: Page 
487
    487
  • Thumbnail: Page 
488
    488
  • Thumbnail: Page 
489
    489
  • Thumbnail: Page 
490
    490
  • Thumbnail: Page 
491
    491
  • Thumbnail: Page 
492
    492
  • Thumbnail: Page 
493
    493
  • Thumbnail: Page 
494
    494
  • Thumbnail: Page 
495
    495
  • Thumbnail: Page 
496
    496
  • Thumbnail: Page 
497
    497
  • Thumbnail: Page 
498
    498
  • Thumbnail: Page 
499
    499
  • Thumbnail: Page 
500
    500