کارایی کیفیت خدمات در بازار یونان، گزینه های قبل و بعد از بحران مالی سال 2008

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.

One of the principal functions of derivatives markets is to facilitate hedging and risk management activities by trading contracts the prices and payoffs of which are contingent on the price path of the underlying asset. Options markets, in particular, provide a low-capital way for firms to manage their risk exposure, while options’ payoff functions also allow for a higher level of flexibility compared to forward or futures contracts. However, although in theory options constitute ideal hedging instruments, their actual efficiency in risk management or speculative investment strategies will ultimately depend on the efficiency of the market in which they are traded. The increased and continuously changing risks that firms are exposed to post-2008 have highlighted the importance of efficient options markets in dynamic short-term hedging portfolios. The motivation for this study stems from this growing importance of options markets with respect to managing risk exposure and gauging markets’ expectations in a turbulent economic environment. In addition, the extent to which the financial crisis of 2008 has affected Greece in particular suggests that the task of multinational firms hedging exposure to investments in the Greek market constitutes an even greater challenge still. This study examines the efficiency of the Athens Derivatives Exchange (ADEX) in Greece. We focus on one of the main definitions of market efficiency, namely that option prices reflect ‘true’ asset values which do not offer returns that deviate from those justified by their risk exposure. To this end, we examine the returns of individual options as well as those of option strategies which are, under model assumptions, risk-immune. Throughout our analysis, the emphasis is on detecting potential violations of basic option pricing theory which, if present, would allow for arbitrage in ADEX and, more importantly, limit the ability of multinational and domestic investors to hedge their exposure to investments in Greece. The significant enlargement of the European Union during the past decade, and the substantial amounts of Foreign Direct Investment towards its developing members, have generated an increasing interest in emerging European markets. The literature so far has mainly focused on the role of emerging equity markets in international portfolio allocation and the potential benefits of diversification (see for instance Syriopoulos, 2004, Syriopoulos, 2011 and Voronkova, 2004), and to a lesser extent on the hedging effectiveness of futures markets (e.g. Kenourgios, 2005 and Lafuente and Novales, 2003). However, the efficiency of emerging options markets and their use in international portfolio hedging strategies has received little attention. The effectiveness of options as hedging instruments directly depends on the extent to which option prices conform to a set of theoretical properties. Coval and Shumway (2001) demonstrate that, under a set of realistic assumptions, option returns must be increasing in strike price, while calls should earn a return in excess of that of the underlying asset and put returns should be below the risk-free rate. Although Coval and Shumway (2001) document that options written on the S&P 500 index are indeed consistent with the above theoretical predictions, Ni (2009) and Driessen and Maenhout (2006) find that these properties are not supported for options written on S&P 500 individual stocks and calls written on the FTSE 100 index, respectively. Furthermore, Bakshi et al. (2000) report several violations with respect to the theoretical prediction of calls (puts) moving in the same (opposite) direction as the underlying asset in the case of S&P 500 options. In addition, since options are risky assets, standard capital asset pricing theory predicts that they should earn a risk-premium related to their systematic risk. However, empirical evidence on the ability of the Capital Asset Pricing Model (CAPM) and the Black and Scholes (1973) option pricing model to explain options’ risk-premia has been less than conclusive. For instance, Coval and Shumway (2001) suggest that option returns do not appear to vary linearly with their respective market betas, indicating that omitted factors are potentially priced, a finding that is disputed by Broadie et al. (2009) for a sample of deep out-of-the-money (OTM) S&P 500 puts. Furthermore, Jones (2006) reports that idiosyncratic variance alone cannot fully explain short-term put returns, suggesting that a multi-factor model is necessary to understand risk-premia associated with options, while Broadie et al. (2009) find that at-the-money (ATM) put and straddle returns appear to be consistent with jump models. The effectiveness of options markets in risk management activities can be further evaluated by examining the returns of option portfolios that are constructed to be theoretically immune to risk. For instance, Liu (2007) examines hedging effectiveness in the UK and finds that the hypothesis of risk-immune option portfolios (delta and delta–vega neutral straddles) earning the risk-free rate is supported for ATM and in-the-money (ITM) portfolios, but OTM straddles on the FTSE 100 appear to earn significantly negative returns, potentially as a result of delta and vega neutrality not being maintained throughout the straddles’ holding period. We adopt a similar methodology as part of our efficiency tests, although our analysis is closer to Norden (2001) who examines the hedging performance of delta and delta–vega neutral strategies for an emerging options market, namely Sweden, and documents the presence of significant violations which ‘… make hedging a rather risky business’. Finally, Santa-Clara and Saretto (2009) show that, although mispricing in options markets would theoretically allow for arbitrage opportunities and decrease the appeal of options as hedging instruments, transaction costs and margin requirements tend to minimize or even eliminate arbitrage profits. Following this line of thought, and given its relatively low volume and high transaction costs, the Greek options market would be expected to be characterized by more pronounced mispricing due to ADEX's wider no-arbitrage bands. Andreou and Pierides (2004), in particular, examine put-call parity and box spread violations during ADEX's first two years of operations and document that, with the exception of the first few months, typical market participants would not be able to profit from arbitrage opportunities in the Greek options market after accounting for transaction costs. The first contribution of this study is to expand the empirical literature on the efficiency of options markets, with a special focus on emerging options exchanges. Related studies have traditionally focused on developed options markets, such as the US and UK, and have largely overlooked their emerging counterparts. However, an analysis of the efficiency of emerging options markets has significant implications for multinational firms’ risk management practice and international asset allocation. The second contribution to the literature refers to a direct examination of the effect of the current crisis on the efficiency of options markets. In contrast to previous papers that have examined relatively homogeneous sample periods, we evaluate options market efficiency before and during the crisis in order to determine the effectiveness of hedging strategies when they are needed the most, i.e. when markets depreciate and volatility increases. The final contribution of this study is the focus on options market efficiency and hedging effectiveness for Greece in particular, which is the country perhaps most heavily afflicted by the current economic downturn. The high volume of investments in Greece during the decade preceding the financial crisis of 2008 highlights the importance of multinational firms’ ability to hedge their exposure to rapidly depreciating investments in the Greek market. Our dataset consists of options contracts written on the Greek large capitalization index FTSE/ASE-20 for the period 2004 to 2011. The daily returns of naked calls and puts are examined and contrasted to the predictions of standard option pricing theory. Market efficiency is further evaluated by performing CAPM regressions on individual option returns, and by testing whether theoretically risk-free option strategies (delta and delta–vega neutral straddles) earn the risk-free rate. In order to detect the effect of the economic crisis on the efficiency of ADEX, we report the results of the above methodology for the entire sample, as well as for pre-crisis (2004–2007) and post-crisis (2008–2011) sub-samples separately. Our results indicate that the economic crisis has had an impact on the hedging effectiveness of ADEX, although the exchange has maintained some level of efficiency. First, the returns of individual options pre-crisis appear to be largely consistent with option pricing theory, with call returns exceeding that of the underlying, put returns being below the risk-free rate, and both call and put returns increasing in strike price. However, the rapid depreciation of the underlying Greek market post-2008 has resulted in a more pronounced deviation of observed option returns from theoretical predictions. Furthermore, the validity of an extended version of the CAPM is not supported for FTSE/ASE-20 options, both before and during the crisis, with puts and calls earning statistically significant risk-adjusted returns before and after 2008, respectively. Although the analysis of individual option returns suggests a certain level of mispricing in the Greek options market, which is significantly more pronounced during the economic crisis, the returns of option strategies provide some support for the hypothesis of ADEX's hedging effectiveness. More specifically, delta neutral and delta–vega neutral straddles are found to earn returns that are indistinguishable from the risk-free rate both before and after 2008, in line with theoretical predictions. However, the crisis has resulted in a significant loss of liquidity in ADEX (roughly 50% in terms of traded contracts), casting doubts over the hedging effectiveness of the Greek options market. The remaining of the paper is organized as follows. Section 2 describes the data used in the empirical analysis and gives an overview of the Greek large capitalization index and ADEX's liquidity. Section 3 discusses the theoretical framework and the hypotheses of interest. Section 4 presents the empirical results with respect to option returns and market efficiency. Finally, Section 5 concludes.

The market efficiency hypothesis [1] and [2] states that asset prices adjust to fully reflect all available information and so show martingale behaviour. Although the formulation of this hypothesis refers to a rapid and unbiased price adjustment process, in practice, prices tend not to adjust to new information instantly but after a certain amount of time. During this time investors take actions to exploit temporary profit opportunities arising from new information, ultimately pushing prices towards efficiency. The time the market takes to adjust prices to market efficiency is an important dimension of the market efficiency hypothesis [3], with notable practical implications for trading and risk management. The adjustment of asset prices to information has been widely studied at the theoretical and empirical level. Theoretical models have been developed by Grossman [4], Grossman and Stiglitz [5] and Cornell and Roll [6], in which the incorporation of stock price information depends on the cost of information production. For a rational expectation framework, Brown and Jennings [7] and Grundy and McNichols [8] show how prices adjust in a sequence of trades to fully reveal all relevant information. For a model populated by Bayesian traders, Chakrabarti and Roll [9] found, in a simulation study, that the market usually converged more rapidly to an equilibrium price when arbitrageurs reacted to one another. Behavioural finance models have been developed by Barberis et al. [10], Daniel et al. [11] and Hong and Lee [12] to provide explanations for empirically documented under- and over-reactions of stock prices to news. Empirically, several studies have examined market efficiency in terms of the speed with which prices react to new information arising from any specific event e.g., [13] or in a more general setting with no specific event identified e.g., [14]. Early tests of weak-form market efficiency employed the linear autocorrelation test and the Lo and Mackinlay variance ratio test [15] for daily, weekly and monthly stock returns. However, those tests assume linearity e.g., [16], [17] and [12], so they only check for serial uncorrelatedness rather than for the martingale property of asset returns. There is no reason to suppose that stock prices are intrinsically linear. Human error in reasoning or information processing (e.g., information bias or overconfidence) may explain information imperfections in financial markets [18] that may give rise to price nonlinearity. Nonlinearity may also arise from price fads, rational speculative bubbles [17] or the assumption that prices are the result of complex interactions between informed and uninformed traders in the market place. Nonlinearity in stock returns is crucial for forecasting see, e.g., [19] and [20] and for determining the speed of convergence to market efficiency since zero autocorrelation does not imply the martingale property of asset returns. Statistical tests developed by Hurst [21], Brock et al. [22] and Peng et al. [23] are considered superior to the linear autocorrelation tests as they are able to detect the presence of short- and long-term dependence. Based on those tests, we propose a different approach to the problem of measuring the adjustment time of security prices towards weak-form market efficiency. This approach is based on employing detrended fluctuation analysis (DFA) [23] for different intraday time scales in order to identify the time horizon necessary for prices to adjust to a fractional Brownian motion (fBm) with a Hurst exponent of 0.5. The chief advantages of the DFA methodology compared with traditional methods (e.g., Hurst analysis, rescaled range statistic, root mean square, time-varying long-range dependence) are that (a) it allows self-similarity to be detected in nonstationary time series and so allows, in turn, log price to be analysed, and (b) it avoids the spurious detection of apparent long-range correlation by excluding the intrinsic trend of the financial time series. DFA has been used for dynamic analysis, among others, of heart rate variability [24], human electroencephalographic fluctuations [25] and economic and financial series [26], [27], [28], [29], [30], [31] and [32]. In particular, DFA has been recently employed to study market efficiency [33], [34], [35], [36] and [37], even though all the existing empirical studies using DFA have analysed the efficiency at specific time scales without analysing the time the market takes to achieve weak-form efficiency. This is the focus of our study. The remainder of the article is organized as follows. Section 2 provides a brief theoretical review and describes the DFA methodology for estimating the Hurst parameter to quantify the speed of adjustment of prices to a random walk; Section 3 describes our data; Section 4 reports our empirical results; and, finally, Section 5 concludes the article.