Professor Panayiotis Andreou panayiotis.andreou@durham.ac.uk
Professor
Empirical Investigation of Stock Index Futures Market Efficiency: The Case of the Athens Derivatives Exchange
Andreou, P.C.; Pierides, Y.
Authors
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 |
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