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Exchange Traded Funds: History, Trading and Research

  • Laurent Deville

    ()

    (DRM - Dauphine Recherches en Management - CNRS : UMR7088 - Université Paris Dauphine - Paris IX)

We survey the litterature devoted to Exchange Traded Funds

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File URL: http://halshs.archives-ouvertes.fr/docs/00/16/22/23/PDF/ETF-survey.pdf
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Paper provided by HAL in its series Post-Print with number halshs-00162223.

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Date of creation: 2008
Date of revision:
Publication status: Published, Handbook of Financial Engineering, Springer (Ed.), 2008, 1-37
Handle: RePEc:hal:journl:halshs-00162223
Note: View the original document on HAL open archive server: http://halshs.archives-ouvertes.fr/halshs-00162223/en/
Contact details of provider: Web page: https://hal.archives-ouvertes.fr/

References listed on IDEAS
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  1. 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.
  2. 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.
  3. 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-.
  4. Alexander A. Kurov & Dennis J. Lasser, 2002. "The effect of the introduction of Cubes on the Nasdaq‐100 index spot‐futures pricing relationship," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 22(3), pages 197-218, 03.
  5. Gary Gorton & George Pennacchi, 1991. "Security Baskets and Index-Linked Securities," NBER Working Papers 3711, National Bureau of Economic Research, Inc.
  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;Southwestern Finance Association, vol. 26(3), pages 301-318.
  7. 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.
  8. 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.
  9. 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.
  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.
  11. Anita K. Pennathur & Natalya Delcoure & Dwight Anderson, 2002. "Diversification Benefits of iShares and Closed-End Country Funds," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 25(4), pages 541-557.
  12. 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.
  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. Kumar, Praveen & Seppi, Duane J, 1994. "Information and Index Arbitrage," The Journal of Business, University of Chicago Press, vol. 67(4), pages 481-509, October.
  15. Hendershott, Terrence & Jones, Charles M., 2005. "Trade-through prohibitions and market quality," Journal of Financial Markets, Elsevier, vol. 8(1), pages 1-23, February.
  16. 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.
  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.
  18. 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.
  19. 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.
  20. 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.
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