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Intraday Pricing of ETFs and Certificates Replicating the German DAX Index

Schmidhammer, Christoph, Lobe, Sebastian and Röder, Klaus (2011) Intraday Pricing of ETFs and Certificates Replicating the German DAX Index. Review of Managerial Science 5 (4), pp. 337-351.

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Other URL: http://www.springerlink.com/content/c63531n4838650t7/


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 ...

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Item type:Article
Date:2011
Institutions:Business, Economics and Information Systems > Institut für Betriebswirtschaftslehre > Lehrstuhl für Finanzdienstleistungen (Prof. Dr. Klaus Röder)
Interdisciplinary Subject Network:Immobilien- und Kapitalmärkte
Classification:
NotationType
G12Journal of Economics Literature Classification
G13Journal of Economics Literature Classification
G14Journal of Economics Literature Classification
Keywords:Exchange Traded Funds, Index Certificates, DAX Index, DAX Futures, Price Setting, Product Quality
Dewey Decimal Classification:300 Social sciences > 330 Economics
Status:Published
Refereed:Yes, this version has been refereed
Created at the University of Regensburg:Yes
Item ID:16744
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