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Intraday Pricing of ETFs and Certificates Replicating the German DAX IndexChristoph SchmidhammerUniversity of Regensburg - Faculty of Business, Economics & Information Systems Sebastian LobeUniversity of Regensburg; Center of Finance Klaus RöderUniversity of Regensburg - Faculty of Business, Economics & Information Systems August 23, 2010 Review of Managerial Science, Vol. 5 Issue 4, pp. 337-351, 2011 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.
Number of Pages in PDF File: 17 Keywords: Exchange Traded Funds, Index Certificates, DAX Index, DAX Futures, Price Setting, Product Quality JEL Classification: G12, G13, G14 Accepted Paper SeriesDate posted: October 20, 2010 ; Last revised: October 13, 2011Suggested CitationContact Information
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