The Journal of Finance publishes leading research across all the major fields of finance. It is one of the most widely cited journals in academic finance, and in all of economics. Each of the six issues per year reaches over 8,000 academics, finance professionals, libraries, and government and financial institutions around the world. The journal is the official publication of The American Finance Association, the premier academic organization devoted to the study and promotion of knowledge about financial economics.
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Discussion
Published: 05/01/1983 | DOI: 10.1111/j.1540-6261.1983.tb02249.x
PAUL HALPERN
Empirical Tests of Boundary Conditions for Toronto Stock Exchange Options
Published: 06/01/1985 | DOI: 10.1111/j.1540-6261.1985.tb04968.x
PAUL J. HALPERN, STUART M. TURNBULL
Using option and stock transaction data for the period 1978–1979, three issues were investigated: first, the conformance of observed prices to various boundary conditions; second, the evolution of the market over time, as the volume of trading and the number of listed options increased; and third, to test the efficiency of the market. It was found that violations did occur. Using a trading rule based on the signal of observed violations, the results suggest that even after transaction costs the market was inefficient over the sample period.