Box spread arbitrage profits following the 1987 market crash: Real or illusory?

Journal of Financial and Quantitative Analysis

Volumn 32, Issue 1, 1997, Pages 71-90

  Hemler, Michael L ^a   Miller Jr , Thomas W ^b  

^a UNIVERSITY OF NOTRE DAME   (United States)

^b UNIVERSITY OF MISSOURI   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0031487633     PISSN: 00221090     EISSN: None     Source Type: Journal    
DOI: 10.2307/2331317     Document Type: Article

References (17)

1. Billingsley, R. S., and D. M. Chance. "Options Market Efficiency and the Box Spread Strategy." Financial Review, 20 (Nov. 1985), 287-301.
2. Chance, D. M. "Parity Tests of Index Options." Advances in Futures and Options Research, 2 (1987), 47-64.
3. Chicago Board Options Exchange. CBOE Constitution and Rules: The Official Constitution and Rules of the Chicago Board Options Exchange, Inc. Chicago, IL: Commerce Clearing House (1996).
4. Fleming, J.; B. Ostdiek; and R. E. Whaley. "The Integration of Stock, Futures, and Option Markets: Evidence from the Index Derivatives." The Journal of Futures Markets, 16 (June 1996), 353-387.
5. Gastineau, G. Dictionary of Financial Risk Management. Chicago, IL: Probus (1992).
6. Harris, L. "The October 1987 S&P 500 Stock-Futures Basis." Journal of Finance, 44 (March 1989), 77-99.
7. Kamara, A., and T. W. Miller, Jr. "Daily and Intradaily Tests of European Put-Call Parity." Journal of Financial and Quantitative Analysis, 30 (Dec. 1995), 519-539.
8. Kamphuis, R. W., Jr.; R. W. Kormendi; and J. W. H. Watson, eds. Black Monday and the Future of Financial Markets. Homewood, IL: Dow Jones-Irwin (1989).
9. Kleidon, A. W., and R. E. Whaley. "One Market? Stocks, Futures, and Options during October 1987." Journal of Finance, 47 (July 1992), 851-877.
10. Knorring, T. Personal letter to the authors (June 1996).
11. Marchand, P. A.; J. T. Lindley; and R. A. Followill. "Further Evidence on Parity Relationships in Options on S&P 500 Index Futures." Journal of Futures Markets, 14 (Sept. 1994), 757-771.
12. Miller, M.; M. Scholes; B. Malkiel; and J. Hawke, Jr. Final Report of the Committee of Inquiry Appointed by the Chicago Mercantile Exchange to Examine the Events surrounding October 19, 1987. Chicago, IL: Chicago Mercantile Exchange (1988).
13. Presidential Task Force on Market Mechanisms. Brady Report. Washington, DC: U.S. Government Printing Office (1988).
14. Ronn, A. G., and E. I. Ronn. "The Box Spread Arbitrage: Theory, Tests, and Investment Strategies." Review of Financial Studies, 2 (Spring 1989), 91-108.
15. Sheikh, A. M., and E. I. Ronn. "A Characterization of the Daily and Intraday Behavior of Returns on Options." Journal of Finance, 49 (July 1994), 557-579.
16. U.S. Commodity Futures Trading Commission. Final Report on Stock Index Futures and Cash Market Activity during October 1987. Washington, DC: U.S. Government Printing Office (1988).
17. U.S. Securities and Exchange Commission. The October 1987 Market Break: Report by the Division of Market Regulation. Washington, DC: U.S. Government Printing Office (1988).