Pricing and informational efficiency of the MIB30 index options market
an analysis with high-frequency data
Additional information
Authors
Cassese G.,
Guidolin M.
Type
Journal Article
Year
2004
Language
English
Abstract
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.
Journal
Economic notes
Volume
33
Number ( Month )
2
Pages (or article number)
275-321
Diffusion
License
License undefined
Visibility
Public
Status open access
Green
