• xmlui.mirage2.page-structure.header.title
    • français
    • English
  • Help
  • Login
  • Language 
    • Français
    • English
View Item 
  •   BIRD Home
  • DRM (UMR CNRS 7088)
  • DRM : Publications
  • View Item
  •   BIRD Home
  • DRM (UMR CNRS 7088)
  • DRM : Publications
  • View Item
JavaScript is disabled for your browser. Some features of this site may not work without it.

Browse

BIRDResearch centres & CollectionsBy Issue DateAuthorsTitlesTypeThis CollectionBy Issue DateAuthorsTitlesType

My Account

LoginRegister

Statistics

Most Popular ItemsStatistics by CountryMost Popular Authors
Thumbnail

Direct and Indirect Effects of Index ETFs on Spot-Futures Pricing and Liquidity : Evidence from the CAC 40 Index

de Séverac, Béatrice; Deville, Laurent; Gresse, Carole (2014), Direct and Indirect Effects of Index ETFs on Spot-Futures Pricing and Liquidity : Evidence from the CAC 40 Index, European Financial Management, 20, 2, p. 352-373. http://dx.doi.org/10.1111/j.1468-036X.2011.00638.x

View/Open
etf_futures_200909.pdf (146.1Kb)
Type
Article accepté pour publication ou publié
Date
2014
Journal name
European Financial Management
Volume
20
Number
2
Publisher
Blackwell
Pages
352-373
Publication identifier
http://dx.doi.org/10.1111/j.1468-036X.2011.00638.x
Metadata
Show full item record
Author(s)
de Séverac, Béatrice

Deville, Laurent
Dauphine Recherches en Management [DRM]
Gresse, Carole
Dauphine Recherches en Management [DRM]
Abstract (EN)
This paper investigates how the introduction of an index security directly or indirectly impacts the underlying-index spot-futures pricing. Using intraday data for financial instruments related to the CAC 40 index, we do not find that the spot-futures price efficiency improvement observed after ETF introduction is explained either by the direct effect of ETF shares being used in arbitrage trades or by the indirect effect of ETF trading improving the liquidity of index stocks in the short run. Some of our findings suggest that the efficiency improvement could rather result from a structural change in the way index traders distribute across index markets, with the ETF market absorbing the liquidity demand from some hedgers or passive index traders.
Subjects / Keywords
Efficiency; Exchange-Traded Fund; ETF; Futures; Liquidity; Arbitrage
JEL
G14 - Information and Market Efficiency; Event Studies; Insider Trading
G13 - Contingent Pricing; Futures Pricing
G12 - Asset Pricing; Trading Volume; Bond Interest Rates
G23 - Non-bank Financial Institutions; Financial Instruments; Institutional Investors

Related items

Showing items related by title and author.

  • Thumbnail
    The Introduction of the CAC40 Master Unit and the CAC40 Index Spot-Futures Pricing Relationship 
    Gresse, Carole; Deville, Laurent; de Séverac, Béatrice (2005) Communication / Conférence
  • Thumbnail
    Liquidity and Risk Sharing Benefits from Opening an ETF Market with Liquidity Providers: Evidence from the CAC 40 Index 
    De Winne, Rudy; Gresse, Carole; Platten, Isabelle (2014-07) Article accepté pour publication ou publié
  • Thumbnail
    Liquidity and Risk Sharing Benefits from the Introduction of an ETF 
    Gresse, Carole; De Winne, Rudy; Platten, Isabelle (2011-06) Document de travail / Working paper
  • Thumbnail
    Effects of the Competition between Multiple Trading Platforms on Market Liquidity : Evidence from the MiFID Experience 
    Gresse, Carole (2011) Communication / Conférence
  • Thumbnail
    How does the Introduction of an ETF Market with Liquidity Providers Impact the Liquidity of the Underlying Stocks? 
    Platten, Isabelle; Gresse, Carole; De Winne, Rudy (2009-09) Communication / Conférence
Dauphine PSL Bibliothèque logo
Place du Maréchal de Lattre de Tassigny 75775 Paris Cedex 16
Phone: 01 44 05 40 94
Contact
Dauphine PSL logoEQUIS logoCreative Commons logo