![Open Access](https://i-scholar.in/lib/pkp/templates/images/icons/fulltextgreen.png)
![Restricted Access](https://i-scholar.in/lib/pkp/templates/images/icons/fulltextred.png)
Time Spreads in China SSE 50 Options
Subscribe/Renew Journal
Using day-end pricing data from a comprehensive database not readily available outside of China, an algorithm to trade near-the-money call option time spreads on China’s SSE 50 ETF was developed and tested. Analysis of in-sample data suggested profitable trading rules that, when applied to limited out-of-sample data, failed to produce superior similar results. A likely explanation for this was offered and further testing was planned. To our knowledge, there are no known related studies of SSE 50 option time spreads; so, this work provides a helpful addition to the growing knowledge about the developing China market.
Keywords
SSE 50 Options, Time Spreads, Calendar Spreads, Horizontal Spreads.
JEL Classification: G10, G11, G13, G14, G15.
Paper Submission Date: November 1, 2019; Paper Sent Back for Revision: November 15, 2019; Paper Acceptance Date: December 1, 2019.
User
Subscription
Login to verify subscription
Font Size
Information
![](https://i-scholar.in/public/site/images/abstractview.png)
Abstract Views: 191
![](https://i-scholar.in/public/site/images/pdfview.png)
PDF Views: 0