Direct and indirect effects of index ETFs on spot‐futures pricing and liquidity: Evidence from the CAC 40 index

L Deville, C Gresse… - European Financial …, 2014 - Wiley Online Library
This paper investigates how the introduction of an Exchange‐Traded Fund (ETF) directly or
indirectly impacts the underlying‐index spot‐futures pricing. Using intraday data for financial …

Time to Efficiency of the French CAC 40 Index Options Market

L Deville - Available at SSRN 498942, 2003 - papers.ssrn.com
In this paper, we use intradaily data and adopt an ex ante approach, replicating as closely
as possible execution conditions available to traders on the CAC 40 option index contract …