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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

Relative pricing of French Treasury inflation-linked and nominal bonds : an empirical approach using arbitrage strategies

Séverac, Béatrice de; Fonseca, José Soares da - In: Portuguese economic journal 20 (2021) 3, pp. 273-295

Persistent link: https://www.econbiz.de/10012616841

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

Persistent link: https://www.econbiz.de/10008532433

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

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/10010799319

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