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The internal efficiency of Index Option Markets:Tests on the Italian Market

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Author Info
Costanza Torricelli ()
Marianna Brunetti ()

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Abstract

The 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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File URL: http://merlino.unimo.it/web_dep/materiali_discussione/0472.pdf
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Publisher Info
Paper provided by University of Modena and Reggio E., Faculty of Economics "Marco Biagi" in its series Department of Economics with number 0472.

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Length: pages 26
Date of creation: Nov 2004
Date of revision:
Handle: RePEc:mod:depeco:0472

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Web page: http://www.dep.unimore.it/
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Related research
Keywords: 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

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This page was last updated on 2009-12-9.

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