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Direct and Indirect Effects of Index ETFs on Spot‐Futures Pricing and Liquidity: Evidence from the CAC 40 Index |
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| Authors: | Laurent Deville Carole Gresse Béatrice de Séverac |
| 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 |
| Abstract: | |
| Keywords: | futures exchange‐traded fund ETF efficiency arbitrage liquidity |