The Put-Call Parity in the Index Options Markets: Further results for the Italian Mib30 Options market
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.
|Date of creation:||Jul 2003|
|Publication status:||Published in International Review of Financial Analysis, Vl.14, 5, pp. 508-532 (2005)|
|Contact details of provider:|| Web page: http://www.economia.unimore.it/|
More information through EDIRC
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: (Sara Colombini)
If references are entirely missing, you can add them using this form.