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The Put-Call Parity in the Index Options Markets: Further results for the Italian Mib30 Options market


  • Costanza Torricelli


  • Marianna Brunetti



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.

Suggested Citation

  • Costanza Torricelli & Marianna Brunetti, 2003. "The Put-Call Parity in the Index Options Markets: Further results for the Italian Mib30 Options market," Department of Economics 0436, University of Modena and Reggio E., Faculty of Economics "Marco Biagi".
  • Handle: RePEc:mod:depeco:0436

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    References listed on IDEAS

    1. Tullio Jappelli & Franco Modigliani, 2006. "The Age–Saving Profile and the Life-Cycle Hypothesis," Chapters,in: Long-run Growth and Short-run Stabilization, chapter 2 Edward Elgar Publishing.
    2. John Laitner & Dan Silverman, 2005. "Estimating Life-Cycle Parameters from Consumption Behavior at Retirement," NBER Working Papers 11163, National Bureau of Economic Research, Inc.
    3. Michael D. Hurd & Susann Rohwedder, 2008. "The Retirement Consumption Puzzle: Actual Spending Change in Panel Data," NBER Working Papers 13929, National Bureau of Economic Research, Inc.
    4. Marina Murat & Barbara Pistoresi, 2009. "Emigrant and immigrant networks in FDI," Applied Economics Letters, Taylor & Francis Journals, vol. 16(12), pages 1261-1264.
    5. Giuseppe Marotta, 1997. "Does trade credit redistribution thwart monetary policy? Evidence from Italy," Applied Economics, Taylor & Francis Journals, vol. 29(12), pages 1619-1629.
    6. Giovanni D'Alessio & Ivan Faiella, 2002. "Non-response behaviour in the Bank of Italy�s Survey of Household Income and Wealth," Temi di discussione (Economic working papers) 462, Bank of Italy, Economic Research and International Relations Area.
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    More about this item


    index options; market efficienc; put-call parity;

    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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