A Survivorship Analysis of the French Index Options Market Deviations to Put Call Parity
Riva, Fabrice; Deville, Laurent (2004-10), A Survivorship Analysis of the French Index Options Market Deviations to Put Call Parity, Toulouse Master in Finance Inaugural Conference - 18-19 oct 2004, 2004-10, Toulouse, France
TypeCommunication / Conférence
Conference titleToulouse Master in Finance Inaugural Conference - 18-19 oct 2004
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Abstract (EN)This paper examines the determinants of the time it takes for an index options market to be brought back to efficiency after put-call parity deviations, using intraday transactions data from the French CAC 40 index options over the August 2000 - July 2001 period. We address this issue through survival analysis which allows us to characterize how differences in market conditions influence the expected time before the market reaches the no-arbitrage relationship. We find that moneyness, maturity, trading volume as well as trade imbalances in call and put options, and volatility are important in understanding why some arbitrage opportunities disappear faster than others. After controlling for differences in the trading environnement, we find evidence of a negative relationship between the existence of ETFs on the index and the time to efficiency
Subjects / KeywordsSurvival analysis; Market efficiency; Index options; exchange traded funds
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