An empirical test of "put call parity"

• Autores: Nissim Ben David, Tavor Tchahi
• Localización: Applied financial economics, ISSN 0960-3107, Vol. 21, Nº. 22-24, 2011, págs. 1661-1664
• Idioma: inglés
• DOI: 10.1080/09603107.2011.589806
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• Resumen

  • In this article, we examined the validity of �Put Call Parity� (PCP) in the Israeli stock market. Estimating the parameters for the PCP equation, we reject the validity of PCP with a 100% confidence level. The estimated PCP equation includes a significant intercept that points to the possibility of having arbitrage opportunities.Measuring the profit rate for portfolios that include options with various exercise prices, we find a potential profit of about 3%�3.4% in all cases.