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Empirical investigation of Stock Index futures market efficiency : the case of the Athens Derivatives Exchange.

Andreou, P. C. and Pierides, Y. (2008) 'Empirical investigation of Stock Index futures market efficiency : the case of the Athens Derivatives Exchange.', European journal of finance., 14 (3). pp. 211-223.

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.

Item Type:Article
Additional Information:This is an electronic version of an article published in Andreou, Panayiotis C. and Yiannos A. Pierides. 2008. Empirical investigation of stock index futures market efficiency: the case of the Athens Derivatives Exchange. The European Journal of Finance. 14(3):211-223. < http://www.informaworld.com/10.1080/13518470801890768 >. The European journal of finance is available online at: http://www.informaworld.com/10.1080/13518470801890768
Full text:PDF - Accepted Version (191Kb)
Status:Peer-reviewed
Publisher Web site:http://dx.doi.org/10.1080/13518470801890768
Record Created:22 May 2009 14:35
Last Modified:03 Nov 2011 16:17

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