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| Author: | Andreou, P.C. Pierides, Y.A. |
| Title: | Empirical investigation of stock index futures market efficiency: The case of the Athens Derivatives Exchange |
| Journal: | European Journal of Finance
2008 : APR/JUN, VOL. 14:3-4, p. 211-223 |
| Index terms: | stock exchanges stock index options futures markets derivative securities efficiency models Greece |
| Language: | eng |
| Abstract: | Pricing and trading practices in the Athens Derivatives Exchange in significant futures arbitrage profit opportunities (here as: opprts.) for low-cost traders. It is found that a large part of the mispricing is due to transaction costs. However, additional factors, e.g. anticipated volatility and time to maturity, also contribute. Ex-ante tests uncover significant arbitrage opprts. that could have been exploited up to 30 min after they had been identified. All different tests indicate that the derivatives market was inefficient during its early trading history because arbitrage opprts. persisted even after other market impact costs were taken into consideration. |
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