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Liquidity and Arbitrage in Options Markets: A Survival Analysis Approach

hal.structure.identifierGroupe de Recherche en Droit, Economie et Gestion [GREDEG]
dc.contributor.authorDeville, Laurent
hal.structure.identifierDauphine Recherches en Management [DRM]
dc.contributor.authorRiva, Fabrice
dc.date.accessioned2019-09-04T09:47:59Z
dc.date.available2019-09-04T09:47:59Z
dc.date.issued2007
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/19674
dc.language.isoenen
dc.subjectdistributionen
dc.subjectmicrostructure Derivativesen
dc.subjectmarketen
dc.subject.ddc332en
dc.subject.classificationjelL.L1.L11en
dc.subject.classificationjelD.D5.D53en
dc.titleLiquidity and Arbitrage in Options Markets: A Survival Analysis Approachen
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenThis paper examines the determinants of the time it takes for an index options market toreturn to no arbitrage values after put-call parity deviations, using intraday transactions datafrom the French index options market. We employ survival analysis to characterize howlimits to arbitrage influence the expected duration of arbitrage deviations. After controllingfor conventional limits to arbitrage, we show that liquidity-linked variables are associatedwith a faster reversion of arbitrage profits. The introduction of an ETF also affects thesurvival rates of deviations but this impact essentially stems from the reduction in the levelof potential arbitrage profits.en
dc.relation.isversionofjnlnameReview of Finance / European Finance Review
dc.relation.isversionofjnlvol11en
dc.relation.isversionofjnlissue3en
dc.relation.isversionofjnldate2007-08
dc.relation.isversionofjnlpages497-525en
dc.relation.isversionofdoi10.1093/rof/rfm021en
dc.subject.ddclabelBourse, Marchés financiersen
dc.relation.forthcomingnonen
dc.relation.forthcomingprintnonen
dc.description.ssrncandidatenonen
dc.description.halcandidateouien
dc.description.readershiprechercheen
dc.description.audienceInternationalen
dc.relation.Isversionofjnlpeerreviewednonen
dc.relation.Isversionofjnlpeerreviewednonen
dc.date.updated2019-08-29T12:24:41Z
hal.faultCode{"duplicate-entry":{"halshs-00673244":{"doi":"1.0"}}}
hal.author.functionaut
hal.author.functionaut


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