Fung, Joseph K. W.; Mok, Henry M. K.; Wong, Kenneth C. K. - In: The Financial Review 39 (2004) 3, pp. 435-454
Using a box spread arbitrage strategy, we examine the pricing efficiency of the emerging, thinly traded Hang Seng Index options market in Hong Kong, where market makers operate under a competitive open outcry system. In 20 months of tick-by-tick bid-ask and transaction quotes we find very few...