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Extreme Börsenbewegung und Intraday-Preisstellung von Open-End-Turbo-Zertifikaten auf den DAX: Der Fall Kerviel

Author

Listed:
  • Sebastian Lobe

    (Universität Regensburg, Center of Finance und Lehrstuhl für Finanzdienstleistungen, Universitätsstraße 31, D-93053 Regensburg)

  • Klaus Röder

    (Universität Regensburg, Center of Finance und Lehrstuhl für Finanzdienstleistungen, Universitätsstraße 31, D-93053 Regensburg)

Abstract

As a consequence of the losses resulting from the speculative activities of the stock trader Jérôme Kerviel of Société Générale, the DAX saw a drop of over 7% on 21 January 2008. This is the date on which the highest daily loss was recorded after issuance of the first endless leverage index certificates in 2001. This clinical study analyses the intraday pricing activities of five issuers of endless leverage index certificates on the DAX for this crash day. We have found significant economic and statistical differences between the pricing activities of the individual issuers. In addition, the empirically observed relative valuation difference between the listed price and the fair value also depends on leverage. In the case of long certificates, leverage is responsible for a positive influence on the relative valuation difference and vice versa where short certificates are concerned. The issuers have been found to apply different strategies when adjusting the width of their bid/ask price spread. The relative spread significantly correlates with the relative valuation difference in each case. The relative difference between the DAX cash market and the DAX futures market is the inverse of the valuation difference between listed prices and fair value in the case of long certificates and vice versa in the case of short certificates.

Suggested Citation

  • Sebastian Lobe & Klaus Röder, 2011. "Extreme Börsenbewegung und Intraday-Preisstellung von Open-End-Turbo-Zertifikaten auf den DAX: Der Fall Kerviel," Credit and Capital Markets, Credit and Capital Markets, vol. 44(2), pages 217-242.
  • Handle: RePEc:kuk:journl:v:44:y:2011:i:2:p:217-242
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    References listed on IDEAS

    as
    1. Martin Hellwig, 2008. "Systemic Risk in the Financial Sector: An Analysis of the Subprime-Mortgage Financial Crisis," Discussion Paper Series of the Max Planck Institute for Research on Collective Goods 2008_43, Max Planck Institute for Research on Collective Goods.
    2. Hellwig, Martin, 1997. "Unternehmensfinanzierung, Unternehmenskontrolle und Ressourcenallokation: Was leistet das Finanzsystem?," Sonderforschungsbereich 504 Publications 97-02, Sonderforschungsbereich 504, Universität Mannheim;Sonderforschungsbereich 504, University of Mannheim.
    3. Martin Hellwig, 2009. "Systemic Risk in the Financial Sector: An Analysis of the Subprime-Mortgage Financial Crisis," De Economist, Springer, pages 129-207.
    4. Barry Eichengreen, 2009. "From the Asian crisis to the global credit crisis: reforming the international financial architecture redux," International Economics and Economic Policy, Springer, pages 1-22.
    Full references (including those not matched with items on IDEAS)

    More about this item

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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