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Put Call Parity Theory: Evidence From The Big Australian

Author

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  • Geoffrey F. Loudon

    (Macquarie University.)

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.

Suggested Citation

  • Geoffrey F. Loudon, 1988. "Put Call Parity Theory: Evidence From The Big Australian," Australian Journal of Management, Australian School of Business, vol. 13(1), pages 53-67, June.
    • Handle: RePEc:sae:ausman:v:13:y:1988:i:1:p:53-67
    DOI: 10.1177/031289628801300103
    as

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    References listed on IDEAS

    as
    1. Stoll, Hans R, 1969. "The Relationship between Put and Call Option Prices," Journal of Finance, American Finance Association, vol. 24(5), pages 801-824, December.
    2. Gould, J. P. & Galai, D., 1974. "Transactions costs and the relationship between put and call prices," Journal of Financial Economics, Elsevier, vol. 1(2), pages 105-129, July.
    3. Merton, Robert C, 1973. "The Relationship Between Put and Call Option Prices: Comment," Journal of Finance, American Finance Association, vol. 28(1), pages 183-184, March.
    4. Klemkosky, Robert C. & Resnick, Bruce G., 1980. "An ex ante analysis of put-call parity," Journal of Financial Economics, Elsevier, vol. 8(4), pages 363-378, December.
    5. Klemkosky, Robert C & Resnick, Bruce G, 1979. "Put-Call Parity and Market Efficiency," Journal of Finance, American Finance Association, vol. 34(5), pages 1141-1155, December.
    Full references (including those not matched with items on IDEAS)

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