On the behaviour of the Finnish stock index options markets

Vesa Puttonen
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Vesa Puttonen: University of Vaasa

Finnish Economic Papers, 1992, vol. 5, issue 2, 117-128

Abstract: In this paper put-call-futures (PCF) parity and put-call-spot (PCS) parity are tested all the new Finnish stock index derivatives markets. Two levels of transaction costs are cOnsidered. Using daily closing price data, we find that, in particular, PCS parity is violated. The violations are due to the fact that the puts have been overpriced compared to the calls. The results suggest that the absence of an institutional framework for short selling of stocks is a factor contributing to discrepancies from price parities. Thus, option pricing in Finland is based on the futures price more than on the underlying index.

JEL-codes: G13 (search for similar items in EconPapers)
Date: 1992
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Persistent link: https://EconPapers.repec.org/RePEc:fep:journl:v:5:y:1992:i:2:p:117-128

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