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Mispricing in Stock Index Futures Markets – the Case of Greece

12 Pages Posted: 28 Jun 2011  

Athanasios Fassas

Hellenic Open University

Date Written: 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.

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

JEL Classification: G10, G13, G15

Suggested Citation

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

Athanasios Fassas (Contact Author)

Hellenic Open University ( email )

16, Sahtouri Str. and Ag. Andreou Str.
262 22 Patra
Greece

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