An Index Is An Index Is An Index?
Before June 1999, Deutsche Börse AG published two parallel index values, one calculated from floor prices and the other from Xetra prices. Since 1999, Deutsche Börse has calculated the DAX blue-chip index and the MDAX mid-cap index using only the prices of the electronic trading system Xetra. This paper analyzes the quality of the two indexes empirically. The results allow us to evaluate the decision taken by Deutsche Börse AG. We find that the Xetra-DAX is superior to the floor-DAX, but that the Xetra-MDAX is inferior to the floor MDAX. Our analysis also provides insights on the relative merits of floor and screen trading systems.
Volume (Year): 53 (2001)
Issue (Month): 4 (October)
|Contact details of provider:|| Postal: |
Phone: 0049 89 2180 2166
Fax: 0049 89 2180 6327
Web page: http://www.sbr-online.com
More information through EDIRC
When requesting a correction, please mention this item's handle: RePEc:sbr:abstra:v:53:y:2001:i:4:p:295-320. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (sbr)The email address of this maintainer does not seem to be valid anymore. Please ask sbr to update the entry or send us the correct address
If references are entirely missing, you can add them using this form.