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

Gresse, Carole; Deville, Laurent; De Séverac, Béatrice - Université Paris-Dauphine (Paris IX) - 2014

spot-futures price efficiency improvement observed after ETF introduction is explained either by the direct effect of ETF … short run. Some of our findings suggest that the efficiency improvement could rather result from a structural change in the …

Persistent link: https://www.econbiz.de/10010799319

The Certification Role of Listings

Draus, Sarah - Université Paris-Dauphine (Paris IX) - 2009

may set listing requirements leading to high information efficiency in equilibrium. However, this is strongly linked to … highest efficiency and the latter may be achieved with low requirements. Whether information efficiency is socially desirable …

Persistent link: https://www.econbiz.de/10010861490

Efficiency in auctions with crossholdings

Ettinger, David - Université Paris-Dauphine (Paris IX) - 2003

We study the impact of crossholdings on the efficiency of the standard auction formats. The ascending auction is not …

Persistent link: https://www.econbiz.de/10010861510

Pareto efficiency for the concave order and multivariate comonotonicity

Galichon, Alfred; Dana, Rose-Anne; Carlier, Guillaume - Université Paris-Dauphine (Paris IX) - 2012

a comonotone dominance principle, due to Landsberger and Meilijson (1994) [27], that efficiency is characterized by a … between efficiency and comonotonicity to the multidimensional case. The multivariate case is more involved (in particular …

Persistent link: https://www.econbiz.de/10010706660

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

Gresse, Carole; Deville, Laurent; de Séverac, Béatrice - Université Paris-Dauphine (Paris IX) - 2006

Persistent link: https://www.econbiz.de/10010706882

Time and dynamic Volume-Volatility Relation around Option Listing: Evidence from the French Underlying Stocks

Tekaya, Rim; Jouaber, Kaouther - Université Paris-Dauphine (Paris IX) - 2010

We empirically investigate the impact of option listing on the underlying stock efficiency by looking at the volume … underlying stock market. We conclude to the existence of option listing impact on the underlying stock efficiency, but to …

Persistent link: https://www.econbiz.de/10010707501

How does option listing affect the underlying stock price duration ? A study of French underlying stock efficiency

Jouaber, Kaouther; Tekaya, Rim - Université Paris-Dauphine (Paris IX) - 2009

We empirically investigate the effect of option listing on the underlying stock pricing efficiency by examining the … indicate that option listing neither damages nor improves the underlying stock efficiency. However, they suggest that a new …

Persistent link: https://www.econbiz.de/10010708183

Taxation optimale de la consommation et biens informels

Gautier, Jean-François - Université Paris-Dauphine (Paris IX) - 2002

This paper analyses whether it is worth taxing the black market. A theoretical optimal tax model provides a first analytical discussion. An empirical version allows us to estimate an optimal tax system for Madagascar. For reasonable inequality aversion parameters, the taxation’s rate of the...

Persistent link: https://www.econbiz.de/10010708536

The Effect of Option listing on the Underlying Stock Volume Volatility Relation : A Study of French Underlying Stock Efficiency

Jouaber, Kaouther; Tekaya, Rim - Université Paris-Dauphine (Paris IX) - 2010

We empirically investigated the impact of option listing on the underlying stock efficiency by looking at the volume …

Persistent link: https://www.econbiz.de/10010708723

Efficiency, Effectiveness and the Design of Network Governance

Sauvée, Loïc - Université Paris-Dauphine (Paris IX) - 2002

objective is to show that the design of network governance must follow a two-track principle of efficiency and effectiveness … able to meet an efficiency/effectiveness principle. In these agrifood networks, the governance optimizes a cost …

Persistent link: https://www.econbiz.de/10011072259