Proceedings of the 2022 International Conference on Artificial Intelligence, Internet and Digital Economy (ICAID 2022)

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A Detection of Mispricing in Chinese Option Market

Authors
Yucheng Liu1, Yanghao Xiao1, Yuanyuan Deng1, Xingyu Liang1, Chunyuan Zheng1, *, Haoxuan Li1, *
1College of Mathematics, Sichuan University, Chengdu, 610065, Sichuan, People’s Republic of China
*Corresponding author. Email: cyzhengscu@gmail.com
*Corresponding author. Email: hxli.scu@gmail.com
Corresponding Authors
Chunyuan Zheng, Haoxuan Li
Available Online 2 December 2022.
DOI
10.2991/978-94-6463-010-7_85How to use a DOI?
Keywords
Options Calendar Effect; Chinese Option Index Market; Mispricing
Abstract

As a new market in 2015, the Chinese options market has the characteristics of information asymmetry. Therefore, searching for a general investment pattern is important. This article analyzes all Chinese stock index options data and reveals the statistical law of the calendar effect in the option market. The article conducts regression analysis on unreasonable volatility, building delta hedge and straddle option strategies, and using regression analysis on options yield to verify that the market makers neglect the influence of the difference between expiration date and purchase date. The pricing difference caused by the calendar effect of options does exist, but unlike the US options market, investors cannot just use simple strategies to obtain a robust positive return in the Chinese market through the calendar effect.

Copyright
© 2023 The Author(s)
Open Access
Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

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Volume Title
Proceedings of the 2022 International Conference on Artificial Intelligence, Internet and Digital Economy (ICAID 2022)
Series
Atlantis Highlights in Intelligent Systems
Publication Date
2 December 2022
ISBN
978-94-6463-010-7
ISSN
2589-4919
DOI
10.2991/978-94-6463-010-7_85How to use a DOI?
Copyright
© 2023 The Author(s)
Open Access
Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

Cite this article

risenwbib
TY  - CONF
AU  - Yucheng Liu
AU  - Yanghao Xiao
AU  - Yuanyuan Deng
AU  - Xingyu Liang
AU  - Chunyuan Zheng
AU  - Haoxuan Li
PY  - 2022
DA  - 2022/12/02
TI  - A Detection of Mispricing in Chinese Option Market
BT  - Proceedings of the 2022 International Conference on Artificial Intelligence, Internet and Digital Economy (ICAID 2022)
PB  - Atlantis Press
SP  - 850
EP  - 859
SN  - 2589-4919
UR  - https://doi.org/10.2991/978-94-6463-010-7_85
DO  - 10.2991/978-94-6463-010-7_85
ID  - Liu2022
ER  -