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

  • Published:2012-02-13 Issue:2 Volume:20 Page:352-373
  • ISSN:1354-7798
  • Container-title:European Financial Management
  • language:en
  • Short-container-title:Eur Financial Management

Author:

Deville Laurent1,Gresse Carole2,de Séverac Béatrice3

Affiliation:

1. CNRS; GREDEG; 250 rue Albert Einstein - Batiment 2 06560 Valbonne France

2. EDHEC Business School 400 Promenade des Anglais; BP 3116 06202 Nice Cedex 3 France

3. Université Paris-Dauphine; DRM; Place du Maréchal de Lattre de Tassigny 75775 Paris cedex 16 France

Publisher

Wiley

Subject

General Economics, Econometrics and Finance,Accounting

Reference22 articles.

1. On the performance of European index funds and ETFs;Blitz;European Financial Management,2010

2. A transactions data test of stock index futures market efficiency and index arbitrage profitability;Chung;Journal of Finance,1991

3. Deville L. CoÛts de transaction et efficience des marchés d'options: tests empiriques sur le marché français 2002

4. The determinants of the time to efficiency in options markets: a survival analysis approach;Deville;Review of Finance,2007

5. Liquidity and risk sharing benefits from the introduction of an ETF;De Winne;Working Paper,2011

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1. Digital Assets and the Tokenization of Everything;Advancements in the New World of Web 3;2023-07-07

2. Stock Index Spot–Futures Arbitrage Prediction Using Machine Learning Models;Entropy;2022-10-13

3. The effect of ETFs on financial markets: a literature review;Financial Markets and Portfolio Management;2020-02-28

4. Noise traders, mispricing, and price adjustments in derivatives markets;The European Journal of Finance;2019-11-28

5. Innovation financière et recherche en finance;Revue Française de Gestion;2019-11
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