The internal efficiency of Index Option Markets:Tests on the Italian Market
AbstractThe aim of the present paper is to provide evidence on the internal market efficiency of the Italian index option market. To this end a model-free approach is taken, whereby strategies involving only options are tested by means of a high frequency dataset covering the period 1 September – 31 December 2002. This piece of research thus completes our previous analysis (Brunetti and Torricelli(2003, 2006)), which focused on the cross-market efficiency of the same market. The results obtained further support the efficiency of one of the most important index options markets in Europe.
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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 0472.
Length: pages 26
Date of creation: Nov 2004
Date of revision:
Publication status: Published in Applied Financial Economics, Vol. 17, 1, pp. 25-33 (2007)
index options; internal market efficiency; no-arbitrage; option spreads;
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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