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dc.contributor.authorRiva, Fabrice
dc.contributor.authorDeville, Laurent
dc.date.accessioned2009-11-06T17:39:25Z
dc.date.available2009-11-06T17:39:25Z
dc.date.issued2004-11
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/2397
dc.language.isoenen
dc.subjectSurvival Analysisen
dc.subjectMarket efficiencyen
dc.subjectIndex Optionsen
dc.subjectExchange TradedFunds.en
dc.subject.ddc657en
dc.subject.classificationjelC41en
dc.subject.classificationjelG14en
dc.subject.classificationjelG13en
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 marketto be brought back to efficiency after put-call parity deviations, using intraday transactionsdata from the French CAC 40 index options over the August 2000 – July 2001 period. Weaddress this issue through survival analysis which allows us to characterize how differencesin market conditions influence the expected time before the market reaches the no-arbitragerelationship. We find that maturity, trading volume as well as trade imbalances in call andput options, and volatility are important in understanding why some arbitrage opportunitiesdisappear faster than others. After controlling for differences in the trading environnement,we find a strong and negative relationship between the existence of ETFs on the index andthe time to efficiency.en
dc.description.sponsorshipprivateouien
dc.subject.ddclabelContrôle de gestion Comptabilitéen
dc.relation.conftitleJournées de l'AFSE 2006en
dc.relation.confdate2006-05
dc.relation.confcityStrasbourgen
dc.relation.confcountryFranceen


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