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The impact of security concentration on adverse selection costs and liquidity: an examination of exchange traded funds

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  • Kenneth Small

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  • James Wansley

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  • Matthew Hood

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    File URL: http://hdl.handle.net/10.1007/s12197-009-9117-z
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    Bibliographic Info

    Article provided by Springer in its journal Journal of Economics and Finance.

    Volume (Year): 36 (2012)
    Issue (Month): 2 (April)
    Pages: 261-281

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    Handle: RePEc:spr:jecfin:v:36:y:2012:i:2:p:261-281

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    Web page: http://link.springer.de/link/service/journals/120857/index.htm

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    Related research

    Keywords: Exchange Traded Fund (ETF); Liquidity; Adverse Selection; G00;

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    References

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    1. Joel Hasbrouck, 2003. "Intraday Price Formation in U.S. Equity Index Markets," Journal of Finance, American Finance Association, vol. 58(6), pages 2375-2400, December.
    2. Benston, George J. & Hagerman, Robert L., 1974. "Determinants of bid-asked spreads in the over-the-counter market," Journal of Financial Economics, Elsevier, vol. 1(4), pages 353-364, December.
    3. Tinic, Seha M, 1972. "The Economics of Liquidity Services," The Quarterly Journal of Economics, MIT Press, vol. 86(1), pages 79-93, February.
    4. Christine X. Jiang & Jang-Chul Kim, 2005. "Trading Costs Of Non-U.S. Stocks On The New York Stock Exchange: The Effect Of Institutional Ownership, Analyst Following, And Market Regulation," Journal of Financial Research, Southern Finance Association & Southwestern Finance Association, vol. 28(3), pages 439-459.
    5. Raman Kumar & Atulya Sarin & Kuldeep Shastri, 1998. "The Impact of Options Trading on the Market Quality of the Underlying Security: An Empirical Analysis," Journal of Finance, American Finance Association, vol. 53(2), pages 717-732, 04.
    6. Kyle, Albert S, 1985. "Continuous Auctions and Insider Trading," Econometrica, Econometric Society, vol. 53(6), pages 1315-35, November.
    7. Yiuman Tse & Paramita Bandyopadhyay & Yang-Pin Shen, 2006. "Intraday Price Discovery in the DJIA Index Markets," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 33(9-10), pages 1572-1585.
    8. Edwin J. Elton, 2002. "Spiders: Where Are the Bugs?," The Journal of Business, University of Chicago Press, vol. 75(3), pages 453-472, July.
    9. Bessembinder, Hendrik, 2003. "Quote-based competition and trade execution costs in NYSE-listed stocks," Journal of Financial Economics, Elsevier, vol. 70(3), pages 385-422, December.
    10. Hamilton, James L, 1978. "Marketplace Organization and Marketability: NASDAQ, the Stock Exchange, and the National Market System," Journal of Finance, American Finance Association, vol. 33(2), pages 487-503, May.
    11. M. Barari & Brian Lucey & S. Voronkova, 2008. "Reassessing co-movements among G7 equity markets: evidence from iShares," Applied Financial Economics, Taylor and Francis Journals, vol. 18(11), pages 863-877.
    12. George Pennacchi & Gary Gorton, . "Security Baskets and Index-Linked Securities," Rodney L. White Center for Financial Research Working Papers 29-89, Wharton School Rodney L. White Center for Financial Research.
    13. Hegde, Shantaram P. & McDermott, John B., 2004. "The market liquidity of DIAMONDS, Q's, and their underlying stocks," Journal of Banking & Finance, Elsevier, vol. 28(5), pages 1043-1067, May.
    14. Marshall, Ben R. & Cahan, Rochester H. & Cahan, Jared M., 2008. "Does intraday technical analysis in the U.S. equity market have value?," Journal of Empirical Finance, Elsevier, vol. 15(2), pages 199-210, March.
    15. Ellis, Katrina & Michaely, Roni & O'Hara, Maureen, 2000. "The Accuracy of Trade Classification Rules: Evidence from Nasdaq," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 35(04), pages 529-551, December.
    16. Subrahmanyam, Avanidhar, 1991. "A Theory of Trading in Stock Index Futures," Review of Financial Studies, Society for Financial Studies, vol. 4(1), pages 17-51.
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