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.
- ARBITRAGE OPPORTUNITIES
- STOCK OPTION PRICING