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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 - In: International review of financial analysis 34 (2014), pp. 31-43

Persistent link: https://www.econbiz.de/10010520400

Direct and indirect effects of index ETFs on spot-futures pricing and liquidity : evidence from the CAC 40 index

Deville, Laurent; Gresse, Carole; Séverac, Béatrice de - In: European financial management : the journal of the … 20 (2014) 2, pp. 352-373

Persistent link: https://www.econbiz.de/10010350999

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

Deville, Laurent - 2014

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...

Persistent link: https://www.econbiz.de/10013067597