Price Discovery In The Athens Derivatives Exchange: Evidence For The Ftse/Ase-20 Futures Market
AbstractThe FTSE/ASE-20 futures market, as the first organised Greek derivatives market, established in August 1999 and its operation rests with the Athens Derivatives Exchange (ADEX) and the Athens Derivatives Exchange Clearing House (ADECH). Cointegration tests are used and an error correction model is developed in order to examine the relationship between price movements of FTSE/ASE-20 three-month futures index and the underlying cash market in Athens Stock Exchange (ASE). Ôhe investigation of its price discovery mechanism has been motivated by the existing paucity of similar research in such newly established (emerging) futures markets and the growing importance of this market for both investors and the Greek capital market. The results show the presence of a bi- directional causality between stock index spot and futures markets, indicating that the newly established ADEX can provide futures contracts that serve as a focal point of information assimilation and fulfil their price discovery.
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Bibliographic InfoPaper provided by EconWPA in its series Finance with number 0512014.
Length: 26 pages
Date of creation: 12 Dec 2005
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Athens Derivatives Exchange; FTSE/ASE 20 futures contract; Price discovery; Cointegration analysis; Causality;
Find related papers by JEL classification:
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
This paper has been announced in the following NEP Reports:
- NEP-ALL-2005-12-20 (All new papers)
- NEP-FIN-2005-12-20 (Finance)
- NEP-FMK-2005-12-20 (Financial Markets)
- NEP-IFN-2005-12-20 (International Finance)
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