Exchange Traded Funds: History, Trading and Research

We survey the litterature devoted to Exchange Traded Fundsliterature review, Exchange Traded Funds

The Determinants of the Time to Efficiency in Options Markets : A Survival Analysis Approach.

This paper examines the determinants of the time it takes for an index options marketto be brought back to efficiency after put-call parity deviations, using intraday transactionsdata from the French CAC 40 index options over the August 2000 – July 2001 period. Weaddress this issue through survival analysis which allows us to characterize how differencesin market conditions influence the expected time before the market reaches the no-arbitragerelationship. We find that maturity, trading volume as well as trade imbalances in call andput options, and volatility are important in understanding why some arbitrage opportunitiesdisappear faster than others. After controlling for differences in the trading environnement,we find a strong and negative relationship between the existence of ETFs on the index andthe time to efficiency.Survival Analysis; Market efficiency; Index Options; Exchange TradedFunds.;

The Determinants of the Time to Efficiency in Options Markets: A Survival Analysis Approach.

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 from the French CAC 40 index options over the August 2000 - July 2001 period. We address this issue through survival analysis which allows us to characterize how differences in market conditions influence the expected time before the market reaches the no-arbitrage relationship. We find that moneyness, maturity, trading volume as well as trade imbalances in call and put options, and volatility are important in understanding why some arbitrage opportunities disappear faster than others. After controlling for differences in the trading environnement, we find evidence of a negative relationship between the existence of ETFs on the index and the time to efficiency.Survival analysis; Market efficiency; Survival analysis; exchange traded funds; Index options;

Liquidity and Arbitrage in Options Markets: A SurvivalAnalysis Approach

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 from the French index options market. We employ survival analysis to characterize how limits to arbitrage influence the expected duration of arbitrage deviations. After controlling for conventional limits to arbitrage, we show that liquidity-linked variables are associated with a faster reversion of arbitrage profits. The introduction of an ETF also affects the survival rates of deviations but this impact essentially stems from the reduction in the level of potential arbitrage profits.Limits to arbitrage, liquidity, survival analysis, index options, ETFs

Estimation des coûts de transaction sur un marché gouverné par les ordres : le cas des composantes du CAC 40

La méthode d’estimation des coûts de transaction de Lesmond, Ogden et Trzcinca (Review of Financial Studies ; 1999) offre une alternative aux travaux basés sur des données intrajournalières. Sur la base des seules rentabilités quotidiennes, la régression d’un modèle Tobit avec frictions, focalisé sur les rentabilités nulles, donne des résultats forts sur le NYSE et l’AMEX. En appliquant cette méthode aux titres composant l’indice CAC 40 sur la période 1990-1999, nous testons sa capacité à générer des estimations pertinentes sur un marché strictement dirigé par les ordres. Si les proportions annuelles de rentabilités nulles obtenues sont très inférieures à celles de l’étude originale, elles restent non négligeables même en l’absence de specialist (de 1% à plus de 10%). Les coûts estimés sont faibles pour ces titres fortement capitalisés (0,208% en moyenne), mais sont fortement corrélés aux valeurs des fourchettes de prix, principale composante des coûts de transaction sur les marchés d’actions.Coûts de transaction, Fourchette de prix, Estimation Tobit.

The Introduction of the CAC40 Master Unit and the CAC40 Index Spot-Futures Pricing Relationship.

Efficiency; Arbitrage; Futures; ETF;

Les réactions du marché à l'annonce de programmes de réduction des coûts : une étude exploratoire sur les entreprises du CAC 40.

Cette recherche exploratoire réalisée sur les entreprises du CAC 40 entre 2000 et 2003 montre que les annonces de programmes de réduction de coûts ont un impact positif sur les cours de bourse. Les réactions du marché dépendent de la santé financière de l’entreprise mais sont indépendantes du contenu informatif de l’annonce.This exploratory research, realized on the firms that constituted the CAC 40 index from 2000 to 2003, shows that cost reduction programs announcements have a positive impact on shareholders value. Stock market reactions depend on whether firms are in financial crisis or not but are independant of their informative content.Découplage; Annonce; Etude d'évènements; Réduction de coûts;