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

Shackleton, Mark B., 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. (doi:10.1016/j.mulfin.2012.10.005) (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided) (KAR id:33502)

The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided. (Contact us about this Publication)
Official URL
http://dx.doi.org/10.1016/j.mulfin.2012.10.005

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
DOI/Identification number: 10.1016/j.mulfin.2012.10.005
Uncontrolled keywords: Market efficiency; Emerging markets; Options; Risk management
Subjects: H Social Sciences > H Social Sciences (General)
Divisions: Faculties > Social Sciences > Kent Business School > Accounting and Finance
Depositing User: Catherine Norman
Date Deposited: 02 Apr 2013 13:38 UTC
Last Modified: 06 May 2020 03:08 UTC
Resource URI: https://kar.kent.ac.uk/id/eprint/33502 (The current URI for this page, for reference purposes)
Voukelatos, Nikolaos: https://orcid.org/0000-0001-8272-2901
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