Put Call Parity Theory: Evidence from the Big Australian

Geoffrey F. Loudon*

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

11 Citations (Scopus)

Abstract

This paper provides Australian evidence, obtained during unusual trading conditions, on put call parity theory. The empirical results show that observed violations of the theory are insufficient to indicate that economic profits can be derived therefrom after allowing for normal transaction costs. Observed violations cannot be explained by the presence of nonsimultaneous price data. The impact of certain institutional restrictions is considered and the existence of transaction costs appears to have the most significant influence.

Original languageEnglish
Pages (from-to)53-67
Number of pages15
JournalAustralian Journal of Management
Volume13
Issue number1
DOIs
Publication statusPublished - 1988

Keywords

  • ARBITRAGE OPPORTUNITIES
  • STOCK OPTION PRICING

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