Our article investigates how the introduction of an index security directly and indirectly impacts the links between the underlying-index spot-futures mispricing. Using intraday data for financial instruments related to the CAC 40 index, we show that the efficiency improvement consequent to the inception of the Lyxor CAC 40 Exchange-Traded Fund (ETF) is not a direct effect of arbitrage trading using the ETF as the cash asset, as argued in previous literature. Indeed, ETF trading does not Grangercause futures price reversion. However, there is a strong causal relation between indexfutures mispricing and illiquidity in the underlying stocks after the introduction of the ETF, suggesting that the ETF introduction indirectly improves spot-future price linkage by enhancing the liquidity of the underlying stocks.