Date
2004-10
Dewey
Economie financière
Sujet
Survival analysis; Market efficiency; Index options; exchange traded funds
JEL code
G12; G15
Conference name
Toulouse Master in Finance Inaugural Conference - 18-19 oct 2004
Conference date
10-2004
Conference city
Toulouse
Conference country
France
Author
Riva, Fabrice
Deville, Laurent
Type
Communication / Conférence
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