Direct and Indirect Effects of Index ETFs on Spot-Futures Mispricing and Illiquidity
研究指数ETF推出如何直接和间接影响现货期货价差，发现ETF交易并不直接导致期货价格回归，而是通过提高标的股票流动性间接改善价格联动。
Our article investigates how the introduction of an index security directly and indirectly impacts the links between the underlying-index spot-futures mispricing. Using intraday data for financial instruments related to the CAC 40 index, we show that the efficiency improvement consequent to the inception of the Lyxor CAC 40 Exchange-Traded Fund (ETF) is not a direct effect of arbitrage trading using the ETF as the cash asset, as argued in previous literature. Indeed, ETF trading does not Granger- cause futures price reversion. However, there is a strong causal relation between index- futures mispricing and illiquidity in the underlying stocks after the introduction of the ETF, suggesting that the ETF introduction indirectly improves spot-future price linkage by enhancing the liquidity of the underlying stocks.