Stock Indices - Rebalancing, Intraday Dynamics, Liquidity
Marcos Costa Santos Carreira (BM&F - Bovespa)
The increased participation of a particular stock in Ibovespa had some interesting
consequences. We’ll examine how the rebalancing mechanism work, the impact on
index futures in both dynamics and liquidity. The periods: (1) Before Sep 2013 (2) Sep
to Oct 2013 (3) After Oct 2013 will be examined.