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Market Efficiency Test Of Australian Options Market Using Put Call Parity Analysis, Eng Kiang Peter Lee
Market Efficiency Test Of Australian Options Market Using Put Call Parity Analysis, Eng Kiang Peter Lee
Theses : Honours
The aims of this thesis is twofold. The primary objective is to test the market efficiency of Australian Options Marlcet (AOM) using the put call parity model. In addition, empirical evidence on the put call parity model is also gather. The put call parity model specified a deterministic relation between the prices of calls and puts. In particular, the put call parity model specifies an upper and lower boundary conditions. A breach in the put call parity model result in arbitrage opportunities which is inconsistent with a efficient market. Four companies share options traded in AOM over a six month …