Empirical tests of efficiency of the Italian index options market

Barone, 1989, Il mercato dei contratti a premio in Italia, vol. XXVII Barone, E.and Cuoco, D.,1991. Implied volatilities and arbitrage opportunities in the Italian options market, Working Paper. Black, 1971, The pricing of options and corporate liabilities, Journal of Political Economy, 81, 637, 10.1086/260062 Black, 1972, The valuation of Option Contracts and a test of market efficiency, Journal of Finance, 27, 399, 10.2307/2978484 Cavallo, L.,1998. Option Market Efficiency and Pricing Models. Theoretical framework and empirical tests, PhD dissertation, University of “Tor Vergata”, Rome. Cavallo, L.,1999. Optimal option replication with transaction costs: an empirical evaluation of several rehedging strategies, CEIS Working papers, n. 106, Rome. Canina, 1993, The information content of implied volatility, The Review of Financial Studies, 6, 659, 10.1093/rfs/6.3.659 Cavallo, L., Mammola, P. and Sabatini, D., 1999. Opzioni sul MIB30: proprietà fondamentali, volatility trading ed efficienza del mercato, CONSOB (Italian Securities and Exchange commission) Finance working papers n. 34. Chiras, 1978, The information content of option prices and a test of market efficiency, Journal of Financial Economics, 6, 213, 10.1016/0304-405X(78)90030-2 Christie, 1982, The stochastic behaviour of common stock variances: value, leverage and interest-rate effects, Journal of Financial Economics, 10, 407, 10.1016/0304-405X(82)90018-6 Evnine, 1985, Index options: the early evidence, Journal of Finance, XL, 10.1111/j.1540-6261.1985.tb04998.x Fama, 1965, The behavior of stock market prices, Journal of Business, 38, 34, 10.1086/294743 Finucane, 1991, Put call parity and expected returns, Journal of Financial and Quantitative Analysis, 26, 445, 10.2307/2331405 French, 1980, Stock returns and the week-end effect, Journal of Financial Economics, 8, 55, 10.1016/0304-405X(80)90021-5 French, 1986, Stock return variances: the arrival of information and the reaction of traders, Journal of Financial Economics, 17, 5, 10.1016/0304-405X(86)90004-8 French, 1987, Expected stock returns and volatility, Journal of Financial Economics, 8, 55, 10.1016/0304-405X(80)90021-5 Galai, 1977, Tests of market efficiency of the Chicago board options exchange, Journal of Business, 50, 167, 10.1086/295929 Gemmil, 1996, Did option traders anticipate the crash? Evidence from volatility smiles in the U.K. with U.S. comparisons, The Journal of Futures Markets, 16, 881, 10.1002/(SICI)1096-9934(199612)16:8<881::AID-FUT3>3.0.CO;2-I Gould, 1974, Transactions costs and the relationship between put and call prices, The Journal of Financial Economics, 1, 105, 10.1016/0304-405X(74)90001-4 Harvey, 1992, Market volatility prediction and the efficiency of the S&P 100 index option market, Journal of Financial Economics, 31, 43, 10.1016/0304-405X(92)90011-L Joo, 1993, A test of the efficiency of the European options exchange, Applied Financial Economics, 3, 175, 10.1080/758532835 Klemkosky, 1979, Put–call parity and market efficiency, The Journal of Finance, XXXIV, 10.1111/j.1540-6261.1979.tb00061.x MacBeth, 1979, An empirical examination of the Black–Scholes call option pricing model, The Journal of Finance, 34, 1173, 10.2307/2327242 Merton, 1973, Theory of rational option pricing, The Bell Journal of Economics and Management Science, 4, 141, 10.2307/3003143 Nisbet, 1992, Put–call parity theory and an empirical test of the efficiency of the London traded options market, Journal of Banking and Finance, 16, 381, 10.1016/0378-4266(92)90021-Q Phillips, 1980, Trading costs for listed options: the implications for market efficiency, Journal of Financial Economics, 8, 179, 10.1016/0304-405X(80)90016-1 Stoll, 1969, The relationship between put and call option prices, The Journal of Finance, XXIV, 10.1111/j.1540-6261.1969.tb01694.x Xu, 1995, Conditional volatility and the informational efficiency of the PHLX currency options market, Journal of Banking and Finance, 19, 803, 10.1016/0378-4266(95)00086-V