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

Author

Listed:
  • Costanza Torricelli

    ()

  • Marianna Brunetti

    ()

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.

Suggested Citation

  • Costanza Torricelli & Marianna Brunetti, 2004. "The internal efficiency of Index Option Markets:Tests on the Italian Market," Department of Economics 0472, University of Modena and Reggio E., Faculty of Economics "Marco Biagi".
  • Handle: RePEc:mod:depeco:0472
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    More about this item

    Keywords

    index options; internal market efficiency; no-arbitrage; option spreads;

    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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