Empirical Evidence on Put-Call Parity in Australia: A Reconciliation and Further Evidence

R. L. Brown and S. A. Easton
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R. L. Brown: The Department of Accounting and Finance, Monash University, Clayton VIC 3168.
S. A. Easton: The Department of Accounting and Finance, Monash University, Clayton VIC 3168.

Australian Journal of Management, 1992, vol. 17, issue 1, 11-19

Abstract: The results of the put-call parity studies by Loudon (1988) and Taylor (1990) are in direct conflict despite the authors reporting the use of virtually identical models and methods. Employing an improved version of Taylor's data collection procedures, we test the parity theorem in the period studied by Loudon. The results are similar to those of Loudon. As a result, we run separate checks of Taylor's data and analysis. The check of the data reveals that over sixty per cent of Taylor's observations are invalid. The check of the analysis reveals that the lower boundary of the put-call parity relation was incorrectly calculated by Taylor. Correcting this error results in fundamentally different conclusions.

Keywords: PUT-CALL PARITY; DATA COLLECTION PROCEDURES (search for similar items in EconPapers)
Date: 1992
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Persistent link: https://EconPapers.repec.org/RePEc:sae:ausman:v:17:y:1992:i:1:p:11-19

DOI: 10.1177/031289629201700102

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