Advanced Search
MyIDEAS: Login

The Put-Call Parity in the Index Options Markets: Further results for the Italian Mib30 Options market

Contents:

Author Info

  • Costanza Torricelli

    ()

  • Marianna Brunetti

    ()

Abstract

The 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.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://www.dep.unimore.it/materiali_discussione/0436.pdf
Download Restriction: no

Bibliographic Info

Paper provided by University of Modena and Reggio E., Faculty of Economics "Marco Biagi" in its series Department of Economics with number 0436.

as in new window
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)
Handle: RePEc:mod:depeco:0436

Contact details of provider:
Web page: http://www.dep.unimore.it/
More information through EDIRC

Related research

Keywords: index options; market efficienc; put-call parity;

Find related papers by JEL classification:

References

No references listed on IDEAS
You can help add them by filling out this form.

Citations

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:mod:depeco:0436. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Monica Morselli).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.