Please use this identifier to cite or link to this item:
https://hdl.handle.net/20.500.14279/14559
Title: | Empirical investigation of stock index futures market efficiency: The case of the Athens Derivatives Exchange | Authors: | Andreou, Panayiotis Pierides, Yiannos A. |
Major Field of Science: | Social Sciences | Field Category: | Economics and Business | Keywords: | Cost of carry model;Market efficiency;Market frictions | Issue Date: | 2008 | Source: | The European Journal of Finance, 2008, vol. 14, iss. 3, pp. 211-223 | Volume: | 14 | Issue: | 3 | Start page: | 211 | End page: | 223 | Journal: | The European Journal of Finance | 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 30min 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. | URI: | https://hdl.handle.net/20.500.14279/14559 | ISSN: | 14664364 | DOI: | 10.1080/13518470801890768 | Rights: | © Taylor & Francis | Type: | Article | Affiliation : | University of Cyprus | Publication Type: | Peer Reviewed |
Appears in Collections: | Άρθρα/Articles |
CORE Recommender
SCOPUSTM
Citations
8
checked on Nov 9, 2023
WEB OF SCIENCETM
Citations
6
Last Week
0
0
Last month
0
0
checked on Oct 29, 2023
Page view(s) 50
347
Last Week
1
1
Last month
10
10
checked on Aug 28, 2024
Google ScholarTM
Check
Altmetric
Items in KTISIS are protected by copyright, with all rights reserved, unless otherwise indicated.