The Put-Call Parity in the Index Options Markets: Further results for the Italian Mib30 Options market
AbstractThe birth and success of index option markets have fostered empirical research on their efficiency. While most of the literature focuses on North American markets, studies on European markets are still limited. The aim of the present paper is to provide further evidence on a European market, the Italian index option market (MibO), by testing the validity of the most famous no-arbitrage relationship in the option markets: the Put-Call parity (PCP). The growth of the market, new facts (such as the transition to the Euro and new market rules) and the availability of a broader and better quality high frequency data set make our work different from the previous study on the same market by Cavallo and Mammola(2000). Our analysis highlights the role of frictions in the tests of the PCP and points at a substantial and increased efficiency of the Italian index option market.
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Bibliographic InfoPaper provided by University of Modena and Reggio E., Faculty of Economics "Marco Biagi" in its series Department of Economics with number 0436.
Length: pages 23
Date of creation: Jul 2003
Date of revision:
Publication status: Published in International Review of Financial Analysis, Vl.14, 5, pp. 508-532 (2005)
index options; market efficienc; put-call parity;
Find related papers by JEL classification:
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
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