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Citations for "A Theory of Trading in Stock Index Futures"

by Subrahmanyam, Avanidhar

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  1. Bengt Holmstrom & Jean Tirole, 1998. "LAPM: A Liquidity Based Asset Pricing Model," Working papers 98-8, Massachusetts Institute of Technology (MIT), Department of Economics.
  2. Ito, Takatoshi & Lin, Wen-Ling, 2001. "Race to the center: competition for the Nikkei 225 futures trade," Journal of Empirical Finance, Elsevier, vol. 8(3), pages 219-242, July.
  3. Albuquerque, Rui & de Francisco, Eva & Marques, Luis, 2006. "Marketwide Private Information in Stocks: Forecasting Currency Returns," CEPR Discussion Papers 5604, C.E.P.R. Discussion Papers.
  4. Fahlenbrach, Rudiger & Sandas, Patrik, 2005. "Market Frictions and Seemingly Anomalous Co-movements of Index Options and Index Futures Quotes," Working Paper Series 2005-10, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
  5. Diogo de Prince & Alexandre Monte, 2013. "What market (spot or future) reflects news first? An analysis in the frequency domain for Brazilian stock market," Economics Bulletin, AccessEcon, vol. 33(3), pages 1780-1787.
  6. Giovanni Cespa, 2001. "A comparison of stock market mechanisms," Economics Working Papers 545, Department of Economics and Business, Universitat Pompeu Fabra, revised Nov 2003.
  7. Chiang, Raymond & Fong, Wai-Ming, 2001. "Relative informational efficiency of cash, futures, and options markets: The case of an emerging market," Journal of Banking & Finance, Elsevier, vol. 25(2), pages 355-375, February.
  8. Bardong, Florian & Bartram, Söhnke M. & Yadav, Pradeep K., 2007. "Are Short-sellers Different?," MPRA Paper 13585, University Library of Munich, Germany, revised 16 Nov 2008.
  9. Masahiro Watanabe, 2003. "A Model of Stochastic Liquidity," Yale School of Management Working Papers ysm385, Yale School of Management.
  10. Neal, Robert & Wheatley, Simon M., 1998. "Adverse selection and bid-ask spreads: Evidence from closed-end funds," Journal of Financial Markets, Elsevier, vol. 1(1), pages 121-149, April.
  11. Madhavan, Ananth, 2000. "Market microstructure: A survey," Journal of Financial Markets, Elsevier, vol. 3(3), pages 205-258, August.
  12. Bryant, Henry L. & Haigh, Michael S., 2002. "Bid-Ask Spreads In Commodity Futures Markets," Working Papers 28587, University of Maryland, Department of Agricultural and Resource Economics.
  13. Emmanuel Farhi & Jean Tirole, 2012. "Liquid Bundles," Working Paper 70971, Harvard University OpenScholar.
  14. Bühler, Wolfgang & Kempf, Alexander, 1994. "The value of the early unwind option in futures contracts with an endogenous basis," ZEW Discussion Papers 94-06, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
  15. Gregory H. Bauer & Clara Vega, 2004. "The Monetary Origins of Asymmetric Information in International Equity Markets," Working Papers 04-47, Bank of Canada.
  16. Chemmanur, Thomas J. & Liu, Mark H., 2011. "Institutional trading, information production, and the choice between spin-offs, carve-outs, and tracking stock issues," Journal of Corporate Finance, Elsevier, vol. 17(1), pages 62-82, February.
  17. Berkman, Henk & Brailsford, Tim & Frino, Alex, 2005. "A note on execution costs for stock index futures: Information versus liquidity effects," Journal of Banking & Finance, Elsevier, vol. 29(3), pages 565-577, March.
  18. Deville, Laurent, 2008. "Exchange traded funds : history, trading and research," Economics Papers from University Paris Dauphine 123456789/903, Paris Dauphine University.
  19. Sugato Chakravarty & Asani Sarkar & Lifan Wu, 1998. "Information asymmetry, market segmentation, and the pricing of cross-listed shares: theory and evidence from Chinese A and B shares," Research Paper 9820, Federal Reserve Bank of New York.
  20. Frino, Alex & Lepone, Andrew & Wong, Brad, 2009. "Derivative use, fund flows and investment manager performance," Journal of Banking & Finance, Elsevier, vol. 33(5), pages 925-933, May.
  21. Jakub W. Jurek & Erik Stafford, 2011. "Crashes and Collateralized Lending," NBER Working Papers 17422, National Bureau of Economic Research, Inc.
  22. Joel Hasbrouck & Duane J. Seppi, 1998. "Common Factors in Prices, Order Flows and Liquidity," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-011, New York University, Leonard N. Stern School of Business-.
  23. Grammig, J. & Schiereck, D. & Theissen, E., 2001. "Knowing Me, Knowing You: Trader Anonymity and Informed Trading in Parallel Markets," Publications of Darmstadt Technical University, Institute for Business Studies (BWL) 35288, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
  24. Matthew Spiegel & Xiaotong Wang, 2005. "Cross-sectional Variation in Stock Returns: Liquidity and Idiosyncratic Risk," Yale School of Management Working Papers amz2540, Yale School of Management, revised 01 Mar 2006.
  25. Chen, Honghui & Morse, Joel N. & Nguyen, Hoang Huy, 2009. "Changes in the liquidity of closed-end country funds after the introduction of World Equity Benchmarks," The Quarterly Review of Economics and Finance, Elsevier, vol. 49(3), pages 1081-1094, August.
  26. Gresse, Carole & Deville, Laurent & De Séverac, Béatrice, 2014. "Direct and Indirect Effects of Index ETFs on Spot-Futures Pricing and Liquidity : Evidence from the CAC 40 Index," Economics Papers from University Paris Dauphine 123456789/7689, Paris Dauphine University.
  27. 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.
  28. Sirnes, Espen, 2011. "Why falling information costs may increase demand for index funds," Review of Financial Economics, Elsevier, vol. 20(1), pages 37-47, January.
  29. repec:eme:mfipps:v:36:y:2010:i:3:p:380-402 is not listed on IDEAS
  30. Cho, Jin-Wan & Shin, Jhinyoung & Singh, Rajdeep, 2004. "The generality of spurious predictability," Finance Research Letters, Elsevier, vol. 1(4), pages 203-214, December.
  31. Albuquerque, Rui & H. Bauer, Gregory & Schneider, Martin, 2009. "Global private information in international equity markets," Journal of Financial Economics, Elsevier, vol. 94(1), pages 18-46, October.
  32. Cuny, Charles J., 2006. "Why derivatives on derivatives? The case of spread futures," Journal of Financial Intermediation, Elsevier, vol. 15(1), pages 132-159, January.
  33. Brailsford, Timothy J. & Frino, Alex & Hodgson, Allan & West, Andrew, 1999. "Stock market automation and the transmission of information between spot and futures markets," Journal of Multinational Financial Management, Elsevier, vol. 9(3-4), pages 247-264, November.
  34. Koenig-Matsoukis, Laure, 2012. "Informed trading before rights issues," Economics Papers from University Paris Dauphine 123456789/9015, Paris Dauphine University.
  35. Erenburg, Grigori & Lasser, Dennis, 2009. "Electronic limit order book and order submission choice around macroeconomic news," Review of Financial Economics, Elsevier, vol. 18(4), pages 172-182, October.
  36. Axelson, Ulf, 2005. "Security Design with Investor Private Information," SIFR Research Report Series 37, Institute for Financial Research.
  37. Gürtler, Marc & Hibbeln, Martin, 2012. "How smart are investors after the subprime mortgage crisis? Evidence from the securitization market," Working Papers IF39V1, Technische Universität Braunschweig, Institute of Finance.
  38. Anna Calamia & Laurent Deville & Fabrice Riva, 2013. "Liquidity in European Equity ETFs: What Really Matters?," GREDEG Working Papers 2013-10, Groupe de REcherche en Droit, Economie, Gestion (GREDEG CNRS), University of Nice Sophia Antipolis.
  39. Datar, Vinay, 2001. "Impact of liquidity on premia/discounts in closed-end funds," The Quarterly Review of Economics and Finance, Elsevier, vol. 41(1), pages 119-135.
  40. Paul H. Kupiec, 1997. "Margin requirements, volatility, and market integrity: what have we learned since the crash?," Finance and Economics Discussion Series 1997-22, Board of Governors of the Federal Reserve System (U.S.).
  41. Bohl, Martin T. & Goodfellow, Christiane & Bialkowski, Jedrzej, 2010. "Individual investors surpass their reputation: Trading behaviour on the Polish futures market," Economic Systems, Elsevier, vol. 34(4), pages 480-492, December.
  42. Jean Tirole, 2010. "Illiquidity and all its Friends," Working Papers 2010.78, Fondazione Eni Enrico Mattei.
  43. Jullavut Kittiakarasakun & Yiuman Tse & George H.K. Wang, 2012. "The impact of trades by traders on asymmetric volatility for Nasdaq-100 index futures," Managerial Finance, Emerald Group Publishing, vol. 38(8), pages 752-767, August.
  44. Cho, Jin-Wan & Shin, Jhinyoung & Singh, Rajdeep, 1999. "Endogenous informed trading in the presence of trading costs: Theory and evidence," Journal of Financial Markets, Elsevier, vol. 2(3), pages 273-305, August.
  45. Bardong, Florian & Bartram, Söhnke M. & Yadav, Pradeep K., 2006. "The Effect of Corporate Break-ups on Information Asymmetry: A Market Microstructure Analysis," MPRA Paper 13155, University Library of Munich, Germany, revised 26 Oct 2008.
  46. Shinhua Liu, 2008. "Index Futures and Predictability of the Underlying Stocks’ Returns: The Case of the Nikkei 225," Journal of Financial Services Research, Springer, vol. 34(1), pages 77-91, August.
  47. Ben-Rephael, Azi & Kadan, Ohad & Wohl, Avi, 2008. "The diminishing liquidity premium," CFS Working Paper Series 2008/52, Center for Financial Studies (CFS).
  48. Kavous Ardalan & Kevin Hebner, 1998. "The no-arbitrage condition and financial markets with heterogeneous information," Journal of Economics and Finance, Springer, vol. 22(1), pages 87-99, March.
  49. Kenneth Small & James Wansley & Matthew Hood, 2012. "The impact of security concentration on adverse selection costs and liquidity: an examination of exchange traded funds," Journal of Economics and Finance, Springer, vol. 36(2), pages 261-281, April.
  50. Platten, Isabelle & Gresse, Carole & De Winne, Rudy, 2009. "How does the Introduction of an ETF Market with Liquidity Providers Impact the Liquidity of the Underlying Stocks?," Economics Papers from University Paris Dauphine 123456789/2742, Paris Dauphine University.
  51. Timotheos Angelidis & Alexandros Benos, 2009. "The Components of the Bid-Ask Spread: the Case of the Athens Stock Exchange," European Financial Management, European Financial Management Association, vol. 15(1), pages 112-144.
  52. Chan, Kalok & Hameed, Allaudeen & Kang, Wenjin, 2013. "Stock price synchronicity and liquidity," Journal of Financial Markets, Elsevier, vol. 16(3), pages 414-438.
  53. repec:dgr:uvatin:2003037 is not listed on IDEAS
  54. Rui Albuquerque & Gregory Bauer & Martin Schneider, 2004. "Characterizing Asymmetric Information in International Equity Markets," International Finance 0405005, EconWPA.
  55. Chelley-Steeley, Patricia & Park, Keebong, 2010. "The adverse selection component of exchange traded funds," International Review of Financial Analysis, Elsevier, vol. 19(1), pages 65-76, January.
  56. Richie, Nivine & Madura, Jeff, 2007. "Impact of the QQQ on liquidity and risk of the underlying stocks," The Quarterly Review of Economics and Finance, Elsevier, vol. 47(3), pages 411-421, July.
  57. Bardong, Florian & Bartram, Söhnke M. & Yadav, Pradeep K., 2005. "Informed Trading, Information Asymmetry and Pricing of Information Risk: Empirical Evidence from the NYSE," MPRA Paper 13586, University Library of Munich, Germany, revised 10 Oct 2008.
  58. Hasbrouck, Joel & Seppi, Duane J., 2001. "Common factors in prices, order flows, and liquidity," Journal of Financial Economics, Elsevier, vol. 59(3), pages 383-411, March.
  59. Hasbrouck, Joel, 1996. "Order characteristics and stock price evolution An application to program trading," Journal of Financial Economics, Elsevier, vol. 41(1), pages 129-149, May.
  60. Blake, David & Biffs, Enrico, 2012. "Keeping Some Skin in the Game: How to Start a Capital Market in Longevity Risk Transfers," MPRA Paper 44680, University Library of Munich, Germany.
  61. Huson, Mark R. & MacKinnon, Gregory, 2003. "Corporate spinoffs and information asymmetry between investors," Journal of Corporate Finance, Elsevier, vol. 9(4), pages 481-503, September.
  62. Matthew Spiegel, 1996. "Stock Price Volatility in a Multiple Security Overlapping Generations Model," Finance 9608002, EconWPA.
  63. Anusha Chari, 2007. "Heterogeneous Market-Making in Foreign Exchange Markets: Evidence from Individual Bank Responses to Central Bank Interventions," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(5), pages 1131-1162, 08.
  64. Hodgson, Allan & Masih, A. Mansur M. & Masih, Rumi, 2006. "Futures trading volume as a determinant of prices in different momentum phases," International Review of Financial Analysis, Elsevier, vol. 15(1), pages 68-85.
  65. Alzahrani, Ahmed A. & Gregoriou, Andros & Hudson, Robert, 2012. "Can market frictions really explain the price impact asymmetry of block trades? Evidence from the Saudi Stock Market," Emerging Markets Review, Elsevier, vol. 13(2), pages 202-209.
  66. Albert J. Menkveld & Siem Jan Koopman & Andr� Lucas, 2003. "Round-the-Clock Price Discovery for Cross-Listed Stocks: US-Dutch Evidence," Tinbergen Institute Discussion Papers 03-037/2, Tinbergen Institute, revised 13 Oct 2003.
  67. Li, Mingsheng & Zhao, Xin, 2014. "Impact of leveraged ETF trading on the market quality of component stocks," The North American Journal of Economics and Finance, Elsevier, vol. 28(C), pages 90-108.
  68. Gerard L. Gannon, 2009. "Dispersion of Information or Market Behaviour: General Public Trading in S&P500 Index Futures," Accounting, Finance, Financial Planning and Insurance Series 2009_01, Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance.
  69. Lipson, Marc L. & Mortal, Sandra, 2007. "Liquidity and firm characteristics: Evidence from mergers and acquisitions," Journal of Financial Markets, Elsevier, vol. 10(4), pages 342-361, November.