Pricing and informational efficiency of the MIB30 index options market
an analysis with high-frequency data
Informazioni aggiuntive
Autori
Cassese G.,
Guidolin M.
Tipo
Articolo pubblicato in rivista scientifica
Anno
2004
Lingua
Inglese
Sommario
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.
Periodico
Economic notes
Volume
33
Numero ( Mese )
2
Pagine (o numero dell’articolo)
275-321
Diffusione
Licenza
Licenza non definita
Visibilità
Pubblico
Status open access
Green
