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dc.contributor.authorRiva, Fabrice
dc.contributor.authorDeville, Laurent
dc.date.accessioned2009-10-09T08:12:25Z
dc.date.available2009-10-09T08:12:25Z
dc.date.issued2004-10
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/2174
dc.language.isoenen
dc.subjectSurvival analysisen
dc.subjectMarket efficiencyen
dc.subjectIndex optionsen
dc.subjectexchange traded fundsen
dc.subject.ddc332en
dc.subject.classificationjelG12en
dc.subject.classificationjelG15en
dc.titleA Survivorship Analysis of the French Index Options Market Deviations to Put Call Parityen
dc.typeCommunication / Conférence
dc.description.abstractenThis 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 efficiencyen
dc.description.sponsorshipprivateouien
dc.subject.ddclabelEconomie financièreen
dc.relation.conftitleToulouse Master in Finance Inaugural Conference - 18-19 oct 2004en
dc.relation.confdate2004-10
dc.relation.confcityToulouseen
dc.relation.confcountryFranceen


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