Empirical investigation of stock index futures market efficiency: the case of the Athens Derivatives Exchange

Panayiotis Andreou and Yiannos Pierides

European Journal of Finance, 2008, vol. 14, issue 3, pages 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.

Keywords: market efficiency; market frictions; cost of carry model (search for similar items in EconPapers)
Date: 2008

Downloads: (external link)
http://www.informaworld.com/openurl?genre=article& ... 40C6AD35DC6213A474B5 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:taf:eurjfi:v:14:y:2008:i:3:p:211-223

Ordering information: This journal article can be ordered from
http://www.tandf.co.uk/journals/subscription.html

Access Statistics for this article

European Journal of Finance is edited by Chris Adcock

More articles in European Journal of Finance from Taylor and Francis Journals
Series data maintained by Christopher F. Baum ().