Pricing and informational efficiency of the MIB30 index options market : an analysis with high-frequency data
- Cassese, Gianluca Istituto di finanza (IFin), Facoltà di scienze economiche, Università della Svizzera italiana, Svizzera
- Guidolin, Massimo University of Virginia, USA
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2004
Published in:
- Economic notes. - Blackwell. - 2004, vol. 33, no. 2, p. 275-321
English
We analyze the pricing and informational efficiency of the Italian market for options written on the most important stock index, the MIB30. We report that a striking percentage of the data consists of option prices violating basic no-arbitrage conditions. This percentage declines when we relax the no-arbitrage restrictions to accommodate for the presence of bid/ask spreads and other frictions, but never becomes negligible. We also investigate the informational efficiency of the MIBO and conclude that option prices are poor predictors of the volatility of MIB30 returns. This conclusion is robust to a number of statistical and sampling methods.
- Language
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- English
- Classification
- Economics
- License
- License undefined
- Identifiers
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- RERO DOC 12759
- DOI 10.1111/j.0391-5026.2004.00133.x
- ARK ark:/12658/srd1318142
- Persistent URL
- https://n2t.net/ark:/12658/srd1318142
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