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dc.contributor.authorde Séverac, Béatrice*
dc.contributor.authorDeville, Laurent*
dc.contributor.authorGresse, Carole*
dc.date.accessioned2011-11-30T09:13:27Z
dc.date.available2011-11-30T09:13:27Z
dc.date.issued2014
dc.identifier.issn1354-7798
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/7689
dc.language.isoenen
dc.subjectEfficiency
dc.subjectExchange-Traded Fund
dc.subjectETF
dc.subjectFutures
dc.subjectLiquidity
dc.subjectArbitrage
dc.subject.ddc332en
dc.subject.classificationjelG.G1.G14en
dc.subject.classificationjelG.G1.G13en
dc.subject.classificationjelG.G1.G12en
dc.subject.classificationjelG.G2.G23
dc.titleDirect and Indirect Effects of Index ETFs on Spot-Futures Pricing and Liquidity : Evidence from the CAC 40 Index
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenThis 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.
dc.relation.isversionofjnlnameEuropean Financial Management
dc.relation.isversionofjnlvol20
dc.relation.isversionofjnlissue2
dc.relation.isversionofjnldate2014
dc.relation.isversionofjnlpages352-373
dc.relation.isversionofdoihttp://dx.doi.org/10.1111/j.1468-036X.2011.00638.x
dc.description.sponsorshipprivateouien
dc.relation.isversionofjnlpublisherBlackwell
dc.subject.ddclabelEconomie financièreen
dc.description.ssrncandidatenon
dc.description.halcandidateoui
dc.description.readershiprecherche
dc.description.audienceInternational
dc.relation.Isversionofjnlpeerreviewedoui
dc.date.updated2018-01-23T13:12:31Z
hal.person.labIds*
hal.person.labIds1032*
hal.person.labIds1032*
hal.faultCode{"duplicate-entry":{"halshs-00727687":{"doi":"1.0"},"halshs-00641118":{"doi":"1.0"},"hal-01528563":{"doi":"1.0"}}}


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