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• W1984798560 abstract "This study examines the cross-market efficiency of the Indian options and futures market using model-free tests. The put–call–futures and put–call–index parity conditions are tested for European style Nifty Index options. Thirty-five-month time-stamped transactions data are used to identify mispricing. Frequent violations of both forms of put–call parity are observed. The restriction on short sales largely accounts for the put–call–index parity violations. There are numerous put–call–futures arbitrage profit opportunities even after accounting for transaction costs, which vanish quickly. Put options are overpriced more often than call options. The mispricing shows specific patterns with respect to time of the day, moneyness, volatility, and days to expiry. © 2008 Wiley Periodicals, Inc. Jrl Fut Mark 28:889–910, 2008" @default.
• W1984798560 created "2016-06-24" @default.
• W1984798560 creator A5048968178 @default.
• W1984798560 date "2008-09-01" @default.
• W1984798560 modified "2023-10-17" @default.
• W1984798560 title "Cross-market efficiency in the Indian derivatives market: A test of put-call parity" @default.
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• W1984798560 doi "https://doi.org/10.1002/fut.20325" @default.
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