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 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 …

This 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 …

Direct and Indirect Effects of Index ETFs on Spot-Futures Mispricing and Illiquidity♣ Page 1
Direct and Indirect Effects of Index ETFs on Spot-Futures Mispricing and Illiquidity♣ Laurent …

We propose a new test for the efficiency of derivatives' prices based on the concept of global
dominance in arbitrage-free markets with frictions. A portfolio is globally dominated if there …

Our article investigates the impact of the introduction of the CAC40 Master Unit ETF on the
cash-futures pricing relationship between the CAC40 futures contract and its underlying …

In an arbitrage-free economy with non-zero bid-ask spreads, the presence of payoffs, whose
price is lower than the price of another payoff where the former dominates the latter, can not …

In terms of exchange traded funds (ETFs), systemic risk refers to the possibility of an ETF-
specific crisis spilling over to the wider financial system. A few key concerns have been …

要旨本論文は日本での ETF (Exchange-Traded Funds) 導入による市場の効率性への影響を
日経 225 現先間の裁定関係の変化から実証している. 本論文の特徴は, ティックデータを利用し …