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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 … shares being used in arbitrage trades or by the indirect effect of ETF trading improving the liquidity of index stocks in the … way index traders distribute across index markets, with the ETF market absorbing the liquidity demand from some hedgers or …
Persistent link: https://www.econbiz.de/10010799319
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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 - Université Paris-Dauphine (Paris IX) - 2014
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 ETF but this liquidity improvement is not driven by changes in …
Persistent link: https://www.econbiz.de/10010861453
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Managing commodity price volatility
Brière, Marie - Université Paris-Dauphine (Paris IX) - 2011
Persistent link: https://www.econbiz.de/10010706369
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Hedging Inflation Risk in a Developing Economy
Signori, Ombretta; Brière, Marie - Université Paris-Dauphine (Paris IX) - 2013
Inflation shocks are one of the pitfalls of developing economies and are usually difficult to hedge. This paper examines the optimal strategic asset allocation for a Brazilian investor seeking to hedge inflation risk at different horizons, ranging from one to 30 years. Using a...
Persistent link: https://www.econbiz.de/10010708884
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An arbitrage-free interest rate model consistent with economic constraints for Long-Term Asset Liability Management
Vialas, Christine; Touzi, Nizar; Aïd, René - Université Paris-Dauphine (Paris IX) - 2012
This paper proposes an Heath-Jarrow-Morton model of the yield curve that can fit the particular requirements of long-term asset and liability management (ALM). In particular, the proposed HJM model can reproduce expected long-term statistical properties of any two interest rates, while still...
Persistent link: https://www.econbiz.de/10011071875
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Inflation-Hedging Portfolios : Economic Regimes Matter
Signori, Ombretta; Brière, Marie - Université Paris-Dauphine (Paris IX) - 2012
The exceptional rise in government deficits following the subprime crisis, the recent commodity price spikes and the increase in inflation volatility have revived the debate on medium to long-term resurgence of inflation. Using a vector-autoregressive model, this paper investigates the...
Persistent link: https://www.econbiz.de/10011072550
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Inflation-hedging Portfolios in Different Regimes
Brière, Marie; Signori, Ombretta - Université Paris-Dauphine (Paris IX) - 2011
The unconventional monetary policies implemented in the wake of the subprime crisis and the recent increase in inflation volatility have revived the debate on medium to long-term resurgence of inflation. This paper presents the optimal strategic asset allocation for investors seeking to hedge...
Persistent link: https://www.econbiz.de/10011074429
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Nonlinearities in Sovereign Risk Pricing: The Role of CDS Index Contract
Portes, Richard; Fouquau, Julien; Delatte, Anne-Laure - Université Paris-Dauphine (Paris IX) - 2014
Is the pricing of sovereign risk linear during bearish episodes? Or can initial shocks on economic fundamentals be exacerbated by endogenous factors that create nonlinearities? We test for nonlinearities in the sovereign bond market of European peripheral countries during the debt crisis and...
Persistent link: https://www.econbiz.de/10010764083
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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
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From performativity to "socially embedded market devices" : The case of the Exchange Traded Funds market
Deville, Laurent; Oubenal, Mohamed - Université Paris-Dauphine (Paris IX) - 2011
and 2009. Building on a longitudinal qualitative study of the French ETF market, we present the multiple regulatory and …
Persistent link: https://www.econbiz.de/10010707187