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The internal efficiency of Index Option Markets

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Author Info
Brunetti M.
Torricelli C.

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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://www.economia.unimore.it/torricelli_costanza/index.htm
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Publisher Info
Paper provided by Society for Computational Economics in its series Computing in Economics and Finance 2005 with number 158.

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Date of creation: 11 Nov 2005
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Handle: RePEc:sce:scecf5:158

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Web page: http://comp-econ.org/
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Related research
Keywords: index options internal market efficiency no-arbitrage option spreads

Find related papers by JEL classification:
G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Mortgages
E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
D5 - Microeconomics - - General Equilibrium and Disequilibrium

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This page was last updated on 2008-9-28.

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