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The internal efficiency of Index Option Markets

Author

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  • Brunetti M.
  • Torricelli C.

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

  • Brunetti M. & Torricelli C., 2005. "The internal efficiency of Index Option Markets," Computing in Economics and Finance 2005 158, Society for Computational Economics.
    • Handle: RePEc:sce:scecf5:158
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    More about this item

    Keywords

    index options; internal market efficiency; no-arbitrage; option spreads;
    All these keywords.

    JEL classification:

    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • D5 - Microeconomics - - General Equilibrium and Disequilibrium

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