Empirical Investigation of Stock Index Futures Market Efficiency: The Case of the Athens Derivatives Exchange

Andreou, P.C.; Pierides, Y.

doi:10.1080/13518470801890768

Empirical Investigation of Stock Index Futures Market Efficiency: The Case of the Athens Derivatives Exchange

Andreou, P.C.; Pierides, Y.

Authors

Professor Panayiotis Andreou panayiotis.andreou@durham.ac.uk
Professor

Y. Pierides

Abstract

Pricing and trading practices in the Athens Derivatives Exchange, a newly established derivatives market, result in significant futures arbitrage profit opportunities for low-cost traders. We find that a large part of the mispricing is due to transaction costs, but additional factors, such as anticipated volatility and time to maturity, also contribute. Ex ante tests reveal significant arbitrage opportunities that could have been exploited up to 30 min after they had been identified. All different tests employed indicate that the derivatives market was inefficient during its early trading history because arbitrage opportunities persisted even after other market impact costs were taken into consideration.

Citation

Andreou, P., & Pierides, Y. (2008). Empirical Investigation of Stock Index Futures Market Efficiency: The Case of the Athens Derivatives Exchange. European Journal of Finance, 14(3), 211-223. https://doi.org/10.1080/13518470801890768

Journal Article Type	Article
Publication Date	Apr 1, 2008
Deposit Date	May 22, 2009
Publicly Available Date	Nov 3, 2009
Journal	European Journal of Finance
Print ISSN	1351-847X
Electronic ISSN	1466-4364
Publisher	Taylor and Francis Group
Peer Reviewed	Peer Reviewed
Volume	14
Issue	3
Pages	211-223
DOI	https://doi.org/10.1080/13518470801890768
Public URL	https://durham-repository.worktribe.com/output/1553715