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Put-call parity and cross-markets efficiency in the index options markets: evidence from the Italian market

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  • Brunetti, Marianna
  • Torricelli, Costanza

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  • Brunetti, Marianna & Torricelli, Costanza, 2005. "Put-call parity and cross-markets efficiency in the index options markets: evidence from the Italian market," International Review of Financial Analysis, Elsevier, vol. 14(5), pages 508-532.
  • Handle: RePEc:eee:finana:v:14:y:2005:i:5:p:508-532
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    References listed on IDEAS

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    1. Ackert, Lucy F. & Tian, Yisong S., 2001. "Efficiency in index options markets and trading in stock baskets," Journal of Banking & Finance, Elsevier, vol. 25(9), pages 1607-1634, September.
    2. Stoll, Hans R, 1969. "The Relationship between Put and Call Option Prices," Journal of Finance, American Finance Association, vol. 24(5), pages 801-824, December.
    3. Evnine, Jeremy & Rudd, Andrew, 1985. "Index Options: The Early Evidence," Journal of Finance, American Finance Association, vol. 40(3), pages 743-756, July.
    4. Bhattacharya, Mihir, 1983. "Transactions data tests of efficiency of the Chicago board options exchange," Journal of Financial Economics, Elsevier, vol. 12(2), pages 161-185, August.
    5. Gould, J. P. & Galai, D., 1974. "Transactions costs and the relationship between put and call prices," Journal of Financial Economics, Elsevier, vol. 1(2), pages 105-129, July.
    6. Nisbet, Mary, 1992. "Put-call parity theory and an empirical test of the efficiency of the London Traded Options Market," Journal of Banking & Finance, Elsevier, vol. 16(2), pages 381-403, April.
    7. Harold Demsetz, 1968. "The Cost of Transacting," The Quarterly Journal of Economics, Oxford University Press, vol. 82(1), pages 33-53.
    8. Merton, Robert C, 1973. "The Relationship Between Put and Call Option Prices: Comment," Journal of Finance, American Finance Association, vol. 28(1), pages 183-184, March.
    9. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-654, May-June.
    10. Phillips, Susan M. & Smith, Clifford Jr., 1980. "Trading costs for listed options : The implications for market efficiency," Journal of Financial Economics, Elsevier, vol. 8(2), pages 179-201, June.
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    Cited by:

    1. Krishnamurti, Chandrasekhar & Hoque, Ariful, 2011. "Efficiency of European emissions markets: Lessons and implications," Energy Policy, Elsevier, vol. 39(10), pages 6575-6582, October.
    2. Marianna Brunetti & Roberta De Luca, 2023. "Pairs trading in the index options market," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 13(1), pages 145-173, March.
    3. Ariful Hoque, 2011. "Transaction Cost Discovery By Decomposition Of The Error Term: A Bootstrapping Approach," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 5(1), pages 113-121.
    4. Marianna Brunetti & Roberta De Luca, 2021. "Pairs Trading In The Index Options Market," CEIS Research Paper 512, Tor Vergata University, CEIS, revised 02 Sep 2021.
    5. Ardia, David, 2007. "Tests d’arbitrage sur options: une analyse empirique des cotations de market-makers," DQE Working Papers 8, Department of Quantitative Economics, University of Freiburg/Fribourg Switzerland.
    6. M. Brunetti & C. Torricelli, 2007. "The internal and cross market efficiency in index option markets: an investigation of the Italian market," Applied Financial Economics, Taylor & Francis Journals, vol. 17(1), pages 25-33.
    7. Moriggia, V. & Muzzioli, S. & Torricelli, C., 2009. "On the no-arbitrage condition in option implied trees," European Journal of Operational Research, Elsevier, vol. 193(1), pages 212-221, February.

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