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dc.contributor.authorRiva, Fabrice
dc.contributor.authorDeville, Laurent
dc.date.accessioned2009-11-06T17:44:22Z
dc.date.available2009-11-06T17:44:22Z
dc.date.issued2004-11
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/2398
dc.language.isoenen
dc.subjectExchange traded fundsen
dc.subjectSurvival Analysisen
dc.subjectMarket efficiencyen
dc.subjectIndex optionsen
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 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.ddclabelContrôle de gestion Comptabilitéen
dc.relation.conftitleInternational Conference on High Frequency Financeen
dc.relation.confdate2006-05
dc.relation.confcityKonstanzen
dc.relation.confcountryAllemagneen


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