Lancaster EPrints

Hedging efficiency in the Greek options market before and after the financial crisis of 2008

Shackleton, Mark and Voukelatos, Nikolaos (2013) Hedging efficiency in the Greek options market before and after the financial crisis of 2008. Journal of Multinational Financial Management, 23 (1-2). pp. 1-18. ISSN 1042-444X

Full text not available from this repository.

Abstract

This study examines the hedging effectiveness of the emerging Greek options market before and after the financial crisis of 2008. We test the hypothesis of market efficiency by analyzing violations of FTSE/ASE-20 index option returns with respect to standard option theory, estimating option risk-premia, and testing the statistical significance of the returns to delta and delta–vega neutral straddles. Our empirical results suggest that, despite a certain level of mispricing, the Athens Derivatives Exchange maintained a relative level of efficiency before 2008. However, the economic crisis has had a significant impact on the Greek options market, as evidenced by more pronounced violations of theoretical predictions observed in option returns and risk-premia. These findings have direct implications for the risk management of international portfolios, since the feasibility and effectiveness of hedging exposure in Greek investments is found to have declined precisely when it is needed the most.

Item Type: Article
Journal or Publication Title: Journal of Multinational Financial Management
Additional Information: Part of Nikos Voukelatos PhD work at Lancaster
Uncontrolled Keywords: Market efficiency ; Emerging markets ; Options ; Risk management
Subjects:
Departments: Lancaster University Management School > Accounting & Finance
ID Code: 67307
Deposited By: ep_importer_pure
Deposited On: 28 Oct 2013 09:09
Refereed?: Yes
Published?: Published
Last Modified: 18 Dec 2017 06:17
Identification Number:
URI: http://eprints.lancs.ac.uk/id/eprint/67307

Actions (login required)

View Item