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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...
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The competition between SEAQ International and Continental European equity markets to attract transactions in the most actively traded European stocks has intensified since the late 1980s. Comparisons of official transaction volumes from SEAQ International and the French CAC market system are...
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