Pricing and Informational Efficiency of the MIB30 Index Options Market. An Analysis with High-frequency Data
Article first published online: 21 SEP 2004
Volume 33, Issue 2, pages 275–321, July 2004
How to Cite
Cassese, G. and Guidolin, M. (2004), Pricing and Informational Efficiency of the MIB30 Index Options Market. An Analysis with High-frequency Data. Economic Notes, 33: 275–321. doi: 10.1111/j.0391-5026.2004.00133.x
- Issue published online: 21 SEP 2004
- Article first published online: 21 SEP 2004
We analyse 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 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.
(J.E.L.: G13, G14).