Abstract

http://ssrn.com/abstract=1873949
 
 

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Mispricing in Stock Index Futures Markets – the Case of Greece


Athanasios Fassas


University of Patras - Business Administration

September 12, 2010


Abstract:     
This study investigates the pricing efficiency of FTSE/ATHEX-20 index futures contracts and examines whether arbitrage profits exist in the Greek market. By comparing ex-post mispricing with round-trip total transaction costs faced by different groups of market participants, the empirical investigation suggests that profitable arbitrage opportunities are likely to be common in the Athens Exchange.

The current paper also documents and tests the factors that determine the occurrence and the magnitude of the arbitrage opportunities in the Greek futures market. The findings suggest that variables, such as futures maturity, dividends, volatility, liquidity and short-selling restrictions, explain effectively the cash-futures mispricing.

Number of Pages in PDF File: 12

Keywords: Price discovery, futures arbitrage, cost-of-carry model, Tobit regression, Greek stock market, FTSE/ATHEX-20

JEL Classification: G10, G13, G15

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Date posted: June 28, 2011  

Suggested Citation

Fassas, Athanasios, Mispricing in Stock Index Futures Markets – the Case of Greece (September 12, 2010). Available at SSRN: http://ssrn.com/abstract=1873949 or http://dx.doi.org/10.2139/ssrn.1873949

Contact Information

Athanasios Fassas (Contact Author)
University of Patras - Business Administration ( email )
Patras
Greece
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