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Impact of the QQQ on liquidity and risk of the underlying stocks

  • Richie, Nivine
  • Madura, Jeff
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    File URL: http://www.sciencedirect.com/science/article/B6W5X-4K4WH8S-1/2/4e45e93796cd8ca391c797d3116d9e6c
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    Article provided by Elsevier in its journal The Quarterly Review of Economics and Finance.

    Volume (Year): 47 (2007)
    Issue (Month): 3 (July)
    Pages: 411-421

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    Handle: RePEc:eee:quaeco:v:47:y:2007:i:3:p:411-421
    Contact details of provider: Web page: http://www.elsevier.com/locate/inca/620167

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    1. McConnell, John J. & Dybevik, Heidi J. & Haushalter, David & Lie, Erik, 1996. "A survey of evidence on domestic and international stock exchange listings with implications for markets and managers," Pacific-Basin Finance Journal, Elsevier, vol. 4(4), pages 347-376, December.
    2. Hans R. Stoll, . "The Supply of Dealer Services in Securities Markets," Rodney L. White Center for Financial Research Working Papers 02-78, Wharton School Rodney L. White Center for Financial Research.
    3. Patro, Dilip Kumar, 2001. "Market Segmentation and International Asset Prices: Evidence from the Listing of World Equity Benchmark Shares," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 24(1), pages 83-98, Spring.
    4. 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.
    5. Parkinson, Michael, 1980. "The Extreme Value Method for Estimating the Variance of the Rate of Return," The Journal of Business, University of Chicago Press, vol. 53(1), pages 61-65, January.
    6. Ying, Louis K. W. & Lewellen, Wilbur G. & Schlarbaum, Gary G. & Lease, Ronald C., 1977. "Stock Exchange Listings and Securities Returns," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 12(03), pages 415-432, September.
    7. Stoll, Hans R, 1978. "The Pricing of Security Dealer Services: An Empirical Study of NASDAQ Stocks," Journal of Finance, American Finance Association, vol. 33(4), pages 1153-72, September.
    8. H. Kent Baker & Richard B. Edelman, 1992. "AMEX-to-NYSE Transfers, Market Microstructure, and Shareholder Wealth," Financial Management, Financial Management Association, vol. 21(4), Winter.
    9. Bollen, Bernard & Inder, Brett, 2002. "Estimating daily volatility in financial markets utilizing intraday data," Journal of Empirical Finance, Elsevier, vol. 9(5), pages 551-562, December.
    10. White, Halbert, 1980. "A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity," Econometrica, Econometric Society, vol. 48(4), pages 817-38, May.
    11. Merton, Robert C., 1987. "A simple model of capital market equilibrium with incomplete information," Working papers 1869-87., Massachusetts Institute of Technology (MIT), Sloan School of Management.
    12. 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.
    13. Edwin J. Elton, 2002. "Spiders: Where Are the Bugs?," The Journal of Business, University of Chicago Press, vol. 75(3), pages 453-472, July.
    14. Erik Theissen, 2002. "Trader Anonymity, Price Formation and Liquidity," Bonn Econ Discussion Papers bgse20_2002, University of Bonn, Germany.
    15. Baker, H. Kent & Nofsinger, John R. & Weaver, Daniel G., 2002. "International Cross-Listing and Visibility," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 37(03), pages 495-521, September.
    16. Fremault, Anne, 1991. "Stock Index Futures and Index Arbitrage in a Rational Expectations Model," The Journal of Business, University of Chicago Press, vol. 64(4), pages 523-47, October.
    17. 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.
    18. Lee, Charles M C & Mucklow, Belinda & Ready, Mark J, 1993. "Spreads, Depths, and the Impact of Earnings Information: An Intraday Analysis," Review of Financial Studies, Society for Financial Studies, vol. 6(2), pages 345-74.
    19. Sanger, Gary C. & McConnell, John J., 1986. "Stock Exchange Listings, Firm Value, and Security Market Efficiency: The Impact of NASDAQ," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 21(01), pages 1-25, March.
    20. Stephen R. Foerster & G. Andrew Karolyi, 1999. "The Effects of Market Segmentation and Investor Recognition on Asset Prices: Evidence from Foreign Stocks Listing in the United States," Journal of Finance, American Finance Association, vol. 54(3), pages 981-1013, 06.
    21. 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.
    22. Yakov Amihud & Haim Mendelson & Jun Uno, 1999. "Number of Shareholders and Stock Prices: Evidence from Japan," Journal of Finance, American Finance Association, vol. 54(3), pages 1169-1184, 06.
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