The name is absent



34

Otettiin huomioon. Tyonjohtopaatoksissa esitetâân hypoteesi, jonka mukaan termiinien kâytto
hinnoittelussa mahdollisesti poistaisi kyseiset ongelmat. Vahvistusta taɪle hypoteesille antaa
MacKinlayn ja Ramaswamyn tutkimus, jossa tarkasteltiin CBOEissa noteerattavaa S&P 500-
indeksiâ ja siihen pohjautuvia termiinejâ. MacKinIay ja Ramaswamy nimittâin havaitsivat.
ettâ indeksiin Hittyvien termiinien muutosten autokorrelatio oli Varsinaisen indeksin
muutosten autokorrelaatiota pienempi.

FOX-indeksin osalta pàivittâisten muutosten autokorrelaatiota on tutkinut mm. Antti Kahra,
jonka vuonna 1992 Hmestyneessa Iutkimuksessa tarkasteltiin FOX-indeksioptioiden
hinnoittelua ja FOX-indeksin muutosten mallittamista eri Stokastisiksi prosesseiksi (mm,
CEV, ARCH, GARCH) ajanjaksolla 2.5.1988- 29.12.1989. Tutkimuksen keskeisenâ
tuloksena todetaan, ettâ FOX-indeksin pâivittâiset muutokset eivât oie puhtaan
Satunnaiskulkuprosessin mukaisia!52

52 Kahra (1992, s. 50).



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