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...

[eng] Because IPO mechanisms determine the initial trading price and the allocation of newly listed firms’ shares, they have financial and strategic consequences for shareholders. For that reason, it is of interest to analyse the relative advantages and disadvantages of the different...

[fre] Les procédures d’introduction en Bourse règlent à la fois la fixation du prix d’introduction et l’allocation des titres. L’importance de leurs enjeux financiers et stratégiques conduit à s’interroger sur les mérites et les inconvénients des différents mécanismes...

This article examines how the introduction of an ETF replicating a stock index impacts on the liquidity of the underlying stocks when the ETF market involves liquidity providers (LPs). We find that index stock spreads decline, relative to those of non-index stocks, after the introduction of the...