An Index Is an Index Is an Index?

descriptionPublicationkeyboard_double_arrow_right Article , Other literature type 01 Oct 2001 Germany English Publisher:Springer Science and Business Media LLCJournal:Schmalenbach Business Review, volume 53, pages 295-320 (issn: 1439-2917, eissn: 2194-072X,

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Authors: Freihube, Thorsten; Theissen, Erik;

doi: 10.1007/bf03396640

An Index Is an Index Is an Index?

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Abstract

Before June 1999, Deutsche Borse AG published two parallel index values, one calculated from floor prices and the other from Xetra prices. Since 1999, Deutsche Borse 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 Borse 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.

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Germany

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