Schmidhammer, Christoph and Lobe, Sebastian and Roeder, Klaus (2011) Intraday pricing of ETFs and certificates replicating the German DAX index. REVIEW OF MANAGERIAL SCIENCE, 5 (4). pp. 337-351. ISSN 1863-6683,
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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.
| Item Type: | Article |
|---|---|
| Uncontrolled Keywords: | NEIGHBORS ETFS; STOCK RETURNS; FUTURES; AUTOCORRELATION; FRAGMENTATION; COMPETITION; PATTERNS; MODELS; MARKET; Exchange traded funds; Index certificates; DAX index; DAX futures; Price setting; Product quality |
| Subjects: | 300 Social sciences > 330 Economics |
| Divisions: | Business, Economics and Information Systems > Institut für Betriebswirtschaftslehre > Lehrstuhl für Finanzdienstleistungen (Prof. Dr. Klaus Röder) |
| Depositing User: | Dr. Gernot Deinzer |
| Date Deposited: | 02 Jun 2020 04:44 |
| Last Modified: | 02 Jun 2020 04:44 |
| URI: | https://pred.uni-regensburg.de/id/eprint/19936 |
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