Intraday pricing of ETFs and certificates replicating the German DAX index |
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Authors: | Christoph Schmidhammer Sebastian Lobe Klaus R?der |
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Institution: | (1) Center of Finance, University of Regensburg, Universit?tsstra?e 31, 93053 Regensburg, Germany |
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Abstract: | The market for the leading German equity index DAX comprises electronically traded futures contracts, fully replicated and
swap-based exchange-traded funds (ETFs), and certificates. This paper reveals that DAX futures contracts contribute an economically
and statistically significant proportion to contemporaneous price quotes of ETFs and certificates. This finding is surprising
because the prospectus of ETFs and certificates claim to follow the stock index solely, but not the index futures contract.
Exploring further the short-run dynamics, our results suggest that fully replicated ETFs cope better with adjusting their
prices to the DAX index than swap-based ETFs and certificates. |
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Keywords: | |
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