1. Ktisis Cyprus University of Technology
  2. Cyprus University of Technology (Research Output)
  3. Άρθρα/Articles
Please use this identifier to cite or link to this item: https://hdl.handle.net/20.500.14279/14559
DC FieldValueLanguage
dc.contributor.authorAndreou, Panayiotis-
dc.contributor.authorPierides, Yiannos A.-
dc.date.accessioned2019-07-16T08:15:19Z-
dc.date.available2019-07-16T08:15:19Z-
dc.date.issued2008-
dc.identifier.citationThe European Journal of Finance, 2008, vol. 14, iss. 3, pp. 211-223en_US
dc.identifier.issn14664364-
dc.identifier.urihttps://hdl.handle.net/20.500.14279/14559-
dc.description.abstractPricing 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.en_US
dc.formatpdfen_US
dc.language.isoenen_US
dc.relation.ispartofThe European Journal of Financeen_US
dc.rights© Taylor & Francisen_US
dc.subjectCost of carry modelen_US
dc.subjectMarket efficiencyen_US
dc.subjectMarket frictionsen_US
dc.titleEmpirical investigation of stock index futures market efficiency: The case of the Athens Derivatives Exchangeen_US
dc.typeArticleen_US
dc.collaborationUniversity of Cyprusen_US
dc.subject.categoryEconomics and Businessen_US
dc.journalsSubscriptionen_US
dc.countryCyprusen_US
dc.subject.fieldSocial Sciencesen_US
dc.publicationPeer Revieweden_US
dc.identifier.doi10.1080/13518470801890768en_US
dc.relation.issue3en_US
dc.relation.volume14en_US
cut.common.academicyear2007-2008en_US
dc.identifier.spage211en_US
dc.identifier.epage223en_US
item.openairecristypehttp://purl.org/coar/resource_type/c_6501-
item.openairetypearticle-
item.cerifentitytypePublications-
item.grantfulltextnone-
item.languageiso639-1en-
item.fulltextNo Fulltext-
crisitem.journal.journalissn1466-4364-
crisitem.journal.publisherTaylor & Francis-
crisitem.author.deptDepartment of Finance, Accounting and Management Science-
crisitem.author.facultyFaculty of Tourism Management, Hospitality and Entrepreneurship-
crisitem.author.orcid0000-0001-5742-0311-
crisitem.author.parentorgFaculty of Management and Economics-
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