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Intraday Pricing of ETFs and Certificates Replicating the German DAX Index

Schmidhammer, Christoph ; Lobe, Sebastian ; Röder, Klaus


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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