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The determinants of the time to efficiency in options markets : a survival analysis approach

dc.contributor.authorRiva, Fabrice
dc.contributor.authorDeville, Laurent
dc.date.accessioned2009-11-06T14:13:51Z
dc.date.available2009-11-06T14:13:51Z
dc.date.issued2004
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/2391
dc.language.isoenen
dc.subjectExchange traded fundsen
dc.subjectSurvival analysisen
dc.subjectMarket efficiencyen
dc.subjectIndex optionsen
dc.subject.ddc332en
dc.subject.classificationjelG14en
dc.subject.classificationjelG13en
dc.subject.classificationjelC41en
dc.titleThe determinants of the time to efficiency in options markets : a survival analysis approachen
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 efficiency.en
dc.description.sponsorshipprivateouien
dc.subject.ddclabelEconomie financièreen
dc.relation.conftitleMicrostructure of financial and money marketsen
dc.relation.confdate2006-06
dc.relation.confcityParisen
dc.relation.confcountryFranceen


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