One of the most spectacular successes in financial innovation since the advent of financial
futures is probably the creation of exchange traded funds (ETFs). As index funds, they aim at …

This paper examines pricing in the market for depositary receipts, securities designed to
track the performance of a stock index that trade like shares of stock. Arbitrage costs are low …

Researchers have reported mispricing in index options markets. This study further examines
the efficiency of the S&P 500 index options market by testing theoretical pricing relationships …

This paper examines the efficiency of the French options market (MONEP) using transaction
data on CAC 40 index options during the period January 02, 1997 through December 30 …

This paper investigates the role of basket securities in the efficient price formation process of
individual component securities. The study focuses on one type of basket security, exchange …

This paper examines the determinants of the time it takes for an index options market to
return to no arbitrage values after put-call parity deviations, using intraday transactions data …

Index options have been one of the most successful of the many innovative financial
instruments introduced over the last few decades, as their high trading volume indicates …

THIS POLICY PRESCRIPTION. 1 FOR EXAMPLE, WHILE KOTLIKOFF (1996) CALLS FOR A
move to a fully funded pension system in the United States, Diamond (1998) presents a …

In the study reported here, we investigated the efficiency of markets as to the relative pricing
of similar risk by using implied volatilities of options on highly correlated indexes and a …

The aim of the present paper is to provide evidence on the internal efficiency of the Italian
index option market and to verify the consistency of the latter notion of efficiency with the …