MARKET-EFFICIENCY - EXPERIENCES WITH NIKKEI PUT WARRANTS

This study examines the efficiency of a newly created market, the Nikk ei put warrant market. Using warrants traded on the Toronto Stock Exch ange, a boundary condition test and a hedging test were performed, Emp irical results of both tests indicate that the Nikkei put warrant mark et is relatively efficient, in that no consistent positive riskless pr ofits can be made based on arbitrage-exploring trading strategies. Thi s study is the first of its kind that examines the Canadian Nikkei put warrant market.