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• Laurent Deville

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Paper provided by HAL in its series Post-Print with number halshs-00162223_v1.

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Date of creation: 2008
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Publication status: Published, Handbook of Financial Engineering, Springer (Ed.), 2008, 1-37
Handle: RePEc:hal:journl:halshs-00162223_v1

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Keywords: literature review; Exchange Traded Funds;

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

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. [Downloadable!] (restricted)
2. Boehmer, Beatrice & Boehmer, Ekkehart, 2003. "Trading your neighbor's ETFs: Competition or fragmentation?," Journal of Banking & Finance, Elsevier, vol. 27(9), pages 1667-1703, September. [Downloadable!] (restricted)
3. Chung, Y Peter, 1991. " A Transactions Data Test of Stock Index Futures Market Efficiency and Index Arbitrage Profitability," Journal of Finance, American Finance Association, vol. 46(5), pages 1791-809, December. [Downloadable!] (restricted)
4. Hasbrouck, Joel, 1995. " One Security, Many Markets: Determining the Contributions to Price Discovery," Journal of Finance, American Finance Association, vol. 50(4), pages 1175-99, September. [Downloadable!] (restricted)
5. Ananth Madhavan & Matthew Richardson & Mark Roomans, 1996. "Why Do Security Prices Change? A Transaction-Level Analysis of NYSE Stocks," New York University, Leonard N. Stern School Finance Department Working Paper Seires 96-34, New York University, Leonard N. Stern School of Business-.
   Other versions:
   • Ananth Madhavan & Matthew Richardson & Mark Roomans, . "Why Do Security Prices Change? A Transaction-Level Analysis of NYSE Stocks," Rodney L. White Center for Financial Research Working Papers 20-94, Wharton School Rodney L. White Center for Financial Research.
   • Madhavan, Ananth & Richardson, Matthew & Roomans, Mark, 1997. "Why Do Security Prices Change? A Transaction-Level Analysis of NYSE Stocks," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 10(4), pages 1035-64.
6. Yiuman Tse & Grigori Erenburg, 2003. "Competition For Order Flow, Market Quality, And Price Discovery In The Nasdaq 100 Index Tracking Stock," Journal of Financial Research, Southern Finance Association and Southwestern Finance Association, vol. 26(3), pages 301-318. [Downloadable!] (restricted)
7. 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. [Downloadable!] (restricted)
8. Anita K. Pennathur & Natalya Delcoure & Dwight Anderson, 2002. "Diversification Benefits of iShares and Closed-End Country Funds," Journal of Financial Research, Southern Finance Association and Southwestern Finance Association, vol. 25(4), pages 541-557. [Downloadable!] (restricted)
9. Lucy F. Ackert & Yisong S. Tian, 2000. "Arbitrage and Valuation in the Market forStandard and Poor's Depository Receipts," Financial Management, Financial Management Association, vol. 29(3), Fall.
10. Harper, Joel T. & Madura, Jeff & Schnusenberg, Oliver, 2006. "Performance comparison between exchange-traded funds and closed-end country funds," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 16(2), pages 104-122, April. [Downloadable!] (restricted)
11. Kumar, Praveen & Seppi, Duane J, 1994. "Information and Index Arbitrage," Journal of Business, University of Chicago Press, vol. 67(4), pages 481-509, October. [Downloadable!] (restricted)
12. Hendershott, Terrence & Jones, Charles M., 2005. "Trade-through prohibitions and market quality," Journal of Financial Markets, Elsevier, vol. 8(1), pages 1-23, February. [Downloadable!] (restricted)
13. Subrahmanyam, Avanidhar, 1991. "A Theory of Trading in Stock Index Futures," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 4(1), pages 17-51. [Downloadable!] (restricted)
14. Fremault, Anne, 1991. "Stock Index Futures and Index Arbitrage in a Rational Expectations Model," Journal of Business, University of Chicago Press, vol. 64(4), pages 523-47, October. [Downloadable!] (restricted)
15. Edwin J. Elton, 2002. "Spiders: Where Are the Bugs?," Journal of Business, University of Chicago Press, vol. 75(3), pages 453-472, July. [Downloadable!]
16. Ackert, Lucy F. & Tian, Yisong S., 2001. "Efficiency in index options markets and trading in stock baskets," Journal of Banking & Finance, Elsevier, vol. 25(9), pages 1607-1634, September. [Downloadable!] (restricted)
    Other versions:
    • Lucy F. Ackert & Yisong S. Tian, 1999. "Efficiency in index options markets and trading in stock baskets," Working Paper 99-5, Federal Reserve Bank of Atlanta. [Downloadable!]
17. Peterson, Mark, 2003. "Discussion of "Trading your neighbor's ETFs: Competition or fragmentation?" by Boehmer and Boehmer," Journal of Banking & Finance, Elsevier, vol. 27(9), pages 1705-1709, September. [Downloadable!] (restricted)
18. Miller, Merton H & Muthuswamy, Jayaram & Whaley, Robert E, 1994. " Mean Reversion of Standard & Poor's 500 Index Basis Changes: Arbitrage-Induced or Statistical Illusion?," Journal of Finance, American Finance Association, vol. 49(2), pages 479-513, June. [Downloadable!] (restricted)

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