The internal efficiency of Index Option Markets:Tests on the Italian Market
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.
|Date of creation:||Nov 2004|
|Date of revision:|
|Publication status:||Published in Applied Financial Economics, Vol. 17, 1, pp. 25-33 (2007)|
|Contact details of provider:|| Web page: http://www.economia.unimore.it/|
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