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Daily and Intradaily Tests of European Put-Call Parity
11 references·16 citing·42 second hop
Daily and Intradaily Tests of European Put-Call Parity (1995)Daily and Intradaily Tests of European Pu…Liquidity, Taxes, and Short-Term Treasury Yields (1994)Liquidity, Taxes, and Short-T…Stock Market Structure and Volatility (1990)Stock Market Structure and Vo…Trading Mechanisms and Stock Returns: An Empirical Investigation (1987)Trading Mechanisms and Stock …Expected stock returns and volatility (1987)Expected stock returns and vo…Limited-Dependent and Qualitative Variables in Econometrics. 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this work references cited by second hop

References

  • 1987Expected stock returns and volatility4,147 cited
  • 1985Limited-Dependent and Qualitative Variables in Econometrics.1,321 cited
  • 1975Fact and Fantasy in the Use of Options1,021 cited
  • 1987Trading Mechanisms and Stock Returns: An Empirical Investigation769 cited
  • 1990Stock Market Structure and Volatility544 cited
  • 1969THE RELATIONSHIP BETWEEN PUT AND CALL OPTION PRICES377 cited
  • 1984Hedging Performance and Basis Risk in Stock Index Futures364 cited
  • 1994Liquidity, Taxes, and Short-Term Treasury Yields278 cited
  • 1977Tests of Market Efficiency of the Chicago Board Options Exchange199 cited
  • 1983The relationship between spot and futures prices in stock index futures markets: Some preliminary evidence174 cited
  • 1979Structural Organization of Secondary Markets: Clearing Frequency, Dealer Activity and Liquidity Risk174 cited

Cited by

  • 2004Testing market efficiency using statistical arbitrage with applications to momentum and value strategies165 cited
  • 2014Expected Returns and Dividend Growth Rates Implied by Derivative Markets108 cited
  • 2001Efficiency in index options markets and trading in stock baskets93 cited
  • 2012Execution Risk in High-Frequency Arbitrage

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73 cited
  • 2007Liquidity and Arbitrage in Options Markets: A Survival Analysis Approach66 cited
  • 2023Who trades at the close? Implications for price discovery and liquidity59 cited
  • 2000Put-call parity and the informational efficiency of the German DAX-index options market57 cited
  • 1996Did option traders anticipate the crash? Evidence from volatility smiles in the U.K. with U.S. comparisons53 cited
  • 2004Put–call parity and cross-markets efficiency in the index options markets: evidence from the Italian market51 cited
  • 1995Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices46 cited
  • 2008Price discovery in the options markets: An application of put‐call parity43 cited
  • 2015Put–Call Parity and market frictions42 cited
  • 2003Testing Market Efficiency Using Statistical Arbitrage with Applications to Momentum and Value Strategies42 cited
  • 2001Efficiency Tests of the French Index (CAC 40) Options Market39 cited
  • 2007The internal and cross market efficiency in index option markets: an investigation of the Italian market36 cited
  • 2006Robust Artificial Neural Networks for Pricing of European Options28 cited