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

Research output: Contribution to Journal/Magazine › Journal article › peer-review

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Hedging efficiency in the Greek options market before and after the financial crisis of 2008. / Shackleton, Mark; Voukelatos, Nikolaos.
In: Journal of Multinational Financial Management, Vol. 23, No. 1-2, 04.2013, p. 1-18.

Research output: Contribution to Journal/Magazine › Journal article › peer-review

Harvard

Shackleton, M & Voukelatos, N 2013, 'Hedging efficiency in the Greek options market before and after the financial crisis of 2008', Journal of Multinational Financial Management, vol. 23, no. 1-2, pp. 1-18. https://doi.org/10.1016/j.mulfin.2012.10.005

APA

Shackleton, M., & Voukelatos, N. (2013). Hedging efficiency in the Greek options market before and after the financial crisis of 2008. Journal of Multinational Financial Management, 23(1-2), 1-18. https://doi.org/10.1016/j.mulfin.2012.10.005

Vancouver

Shackleton M, Voukelatos N. Hedging efficiency in the Greek options market before and after the financial crisis of 2008. Journal of Multinational Financial Management. 2013 Apr;23(1-2):1-18. doi: 10.1016/j.mulfin.2012.10.005

Author

Shackleton, Mark ; Voukelatos, Nikolaos. / Hedging efficiency in the Greek options market before and after the financial crisis of 2008. In: Journal of Multinational Financial Management. 2013 ; Vol. 23, No. 1-2. pp. 1-18.

Bibtex

@article{2255c35b45a04f01976eebccbcc48393,
title = "Hedging efficiency in the Greek options market before and after the financial crisis of 2008",
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.",
keywords = "Market efficiency, Emerging markets, Options, Risk management",
author = "Mark Shackleton and Nikolaos Voukelatos",
note = "Part of Nikos Voukelatos PhD work at Lancaster",
year = "2013",
month = apr,
doi = "10.1016/j.mulfin.2012.10.005",
language = "English",
volume = "23",
pages = "1--18",
journal = "Journal of Multinational Financial Management",
issn = "1042-444X",
publisher = "Elsevier",
number = "1-2",

}

RIS

TY - JOUR

T1 - Hedging efficiency in the Greek options market before and after the financial crisis of 2008

AU - Shackleton, Mark

AU - Voukelatos, Nikolaos

N1 - Part of Nikos Voukelatos PhD work at Lancaster

PY - 2013/4

Y1 - 2013/4

N2 - 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.

AB - 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.

KW - Market efficiency

KW - Emerging markets

KW - Options

KW - Risk management

U2 - 10.1016/j.mulfin.2012.10.005

DO - 10.1016/j.mulfin.2012.10.005

M3 - Journal article

VL - 23

SP - 1

EP - 18

JO - Journal of Multinational Financial Management

JF - Journal of Multinational Financial Management

SN - 1042-444X

IS - 1-2

ER -