The internal efficiency of Index Option Markets

Marianna Brunetti and Costanza Torricelli

No 158, Computing in Economics and Finance 2005 from Society for Computational Economics

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

Keywords: index options; internal market efficiency; no-arbitrage; option spreads (search for similar items in EconPapers)
JEL-codes: D5 E32 G21 (search for similar items in EconPapers)
Date: 2005-11-11
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