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The real benchmark of DAX index products and the influence of information dissemination: A natural experiment

Schmidhammer, Christoph ; Lobe, Sebastian ; Röder, Klaus



Abstract

Analysing 5 exchange traded funds (ETFs) and 26 index certificates, this is a comprehensive intraday study combining the perspective of information dissemination and pricing quality. We focus on the Volkswagen extreme event day on 28 October 2008, where a breakdown of the futures-cash arbitrage relationship offered the unique opportunity to identify the true benchmark of index-related products ...

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