Price disagreements and adjustments in index derivatives markets

摘要

We examine whether index futures and options markets disagree with regard to their underlying spot prices and the mechanism whereby futures and options prices adjust to eliminate the price disagreements by comparing the actual and option-implied futures prices. The analysis of the microstructure dataset indicates that the price disagreement rates between the two markets are relatively low and both futures and options prices are adjusted in the case of disagreements. (C) 2016 Elsevier B.V. All rights reserved.