Direct and Indirect Effects of Index ETFs on Spot‐Futures Pricing and Liquidity: Evidence from the CAC 40 Index
研究了CAC 40指数ETF推出后，现货-期货定价效率提升的原因，发现并非来自套利或流动性改善，而是指数交易者市场分布的结构性变化。
Abstract 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 instruments related to the CAC 40 index, we do not find that the spot‐futures price efficiency improvement observed after ETF introduction is explained either by the direct effect of ETF shares being used in arbitrage trades or by the indirect effect of ETF trading improving the liquidity of index stocks in the short‐run. Some of our findings suggest that the efficiency improvement could rather result from a structural change in the way index traders distribute across index markets, with the ETF market absorbing the liquidity demand from some hedgers or passive index traders.