12 Pages Posted: 28 Jun 2011
Date Written: September 12, 2010
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.
Keywords: Price discovery, futures arbitrage, cost-of-carry model, Tobit regression, Greek stock market, FTSE/ATHEX-20
JEL Classification: G10, G13, G15
Suggested Citation: Suggested Citation