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.
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