Empirical Test of Put - call Parity on the Standard and Poor’s 500 Index Options (SPX) over the Short Ban 2008
p. 46-60
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oai:112.137.131.14:VNU_123-613542018-03-22T20:07:50Z Empirical Test of Put - call Parity on the Standard and Poor’s 500 Index Options (SPX) over the Short Ban 2008 Do, Phuong Huyen Put-call parity SPX short ban 2008 p. 46-60 Put call parity is a theoretical no-arbitrage condition linking a call option price to a put option price written on the same stock or index. This study finds that Put call parity violations are quite symmetric over the whole sample. However during the ban period 2008 in the U.S., puts are significantly and economically overpriced relative to calls. Some possible explanations are the short selling restriction, momentum trading behaviour and the changes in supply and demand of puts over the short ban. One interesting finding is that the relationship between time to expiry, put call parity deviations and returns on the index is highly non-linear. 2018-03-19T04:11:27Z 2018-03-19T04:11:27Z 2017 Article 2588-1116 http://repository.vnu.edu.vn/handle/VNU_123/61354 en ;Vol 33 No 2 application/pdf H. : ĐHQGHN |
| institution |
Vietnam National University, Hanoi |
| building |
VNU Library & Information Center |
| country |
Vietnam |
| collection |
VNU Digital Repository |
| language |
English |
| topic |
Put-call parity SPX short ban 2008 |
| spellingShingle |
Put-call parity SPX short ban 2008 Do, Phuong Huyen Empirical Test of Put - call Parity on the Standard and Poor’s 500 Index Options (SPX) over the Short Ban 2008 |
| description |
p. 46-60 |
| format |
Article |
| author |
Do, Phuong Huyen |
| author_facet |
Do, Phuong Huyen |
| author_sort |
Do, Phuong Huyen |
| title |
Empirical Test of Put - call Parity on the Standard and Poor’s 500 Index Options (SPX) over the Short Ban 2008 |
| title_short |
Empirical Test of Put - call Parity on the Standard and Poor’s 500 Index Options (SPX) over the Short Ban 2008 |
| title_full |
Empirical Test of Put - call Parity on the Standard and Poor’s 500 Index Options (SPX) over the Short Ban 2008 |
| title_fullStr |
Empirical Test of Put - call Parity on the Standard and Poor’s 500 Index Options (SPX) over the Short Ban 2008 |
| title_full_unstemmed |
Empirical Test of Put - call Parity on the Standard and Poor’s 500 Index Options (SPX) over the Short Ban 2008 |
| title_sort |
empirical test of put - call parity on the standard and poor’s 500 index options (spx) over the short ban 2008 |
| publisher |
H. : ĐHQGHN |
| publishDate |
2018 |
| url |
http://repository.vnu.edu.vn/handle/VNU_123/61354 |
| _version_ |
1680963722067050496 |