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Exchange Traded Funds: History, Trading and Research

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  • Laurent Deville

    () (DRM - Dauphine Recherches en Management - Université Paris-Dauphine - CNRS - Centre National de la Recherche Scientifique)

Abstract

We survey the litterature devoted to Exchange Traded Funds

Suggested Citation

  • Laurent Deville, 2008. "Exchange Traded Funds: History, Trading and Research," Post-Print halshs-00162223, HAL.
  • Handle: RePEc:hal:journl:halshs-00162223 Note: View the original document on HAL open archive server: https://halshs.archives-ouvertes.fr/halshs-00162223
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    1. 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.
    2. 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.
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    8. Lee, Charles M C & Shleifer, Andrei & Thaler, Richard H, 1991. " Investor Sentiment and the Closed-End Fund Puzzle," Journal of Finance, American Finance Association, vol. 46(1), pages 75-109, March.
    9. 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 523-547, October.
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    13. Hendershott, Terrence & Jones, Charles M., 2005. "Trade-through prohibitions and market quality," Journal of Financial Markets, Elsevier, vol. 8(1), pages 1-23, February.
    14. 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.
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    20. Tae H. Park & Lorne N. Switzer, 1995. "Index participation units and the performance of index futures markets: Evidence from the Toronto 35 index participation units market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 15(2), pages 187-200, April.
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    22. Lorne N. Switzer & Paula L. Varson & Samia Zghidi, 2000. "Standard and Poor’s depository receipts and the performance of the S&P 500 index futures market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 20(8), pages 705-716, September.
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    1. repec:pes:ierequ:v:12:y:2017:i:1:p:83-100 is not listed on IDEAS
    2. Chau, Frankie & Deesomsak, Rataporn & Lau, Marco C.K., 2011. "Investor sentiment and feedback trading: Evidence from the exchange-traded fund markets," International Review of Financial Analysis, Elsevier, vol. 20(5), pages 292-305.
    3. Adam Marszk & Ewa Lechman & Harleen Kaur, 2017. "Financial Markets Diffusion Patterns. The Case Of Mexican Investment Funds," Equilibrium. Quarterly Journal of Economics and Economic Policy, Institute of Economic Research, pages 83-100.
    4. Volodymyr Vysochansky, 2014. "Principles of Monetary System Transformation," Finance vysochansky_volodymyr.522, Socionet.
    5. Charteris, Ailie & Chau, Frankie & Gavriilidis, Konstantinos & Kallinterakis, Vasileios, 2014. "Premiums, discounts and feedback trading: Evidence from emerging markets' ETFs," International Review of Financial Analysis, Elsevier, vol. 35(C), pages 80-89.
    6. Tseng, Tseng-Chan & Lee, Chien-Chiang & Chen, Mei-Ping, 2015. "Volatility forecast of country ETF: The sequential information arrival hypothesis," Economic Modelling, Elsevier, vol. 47(C), pages 228-234.
    7. Adam Marszk & Ewa Lechman, 2016. "Tracing Financial Innovations Diffusion And Substitution Trajectories. Recent Evidence On Exchange Traded Funds In Japan And South Korea," GUT FME Working Paper Series A 32, Faculty of Management and Economics, Gdansk University of Technology.
    8. Ewa Lechman & Adam Marszk, 2014. "Reshaping financial systems. New technologies and financial innovations - evidence from the United States, Mexico and Brazil," GUT FME Working Paper Series A 20, Faculty of Management and Economics, Gdansk University of Technology.
    9. Lechman, Ewa & Marszk, Adam, 2015. "ICT technologies and financial innovations: The case of exchange traded funds in Brazil, Japan, Mexico, South Korea and the United States," Technological Forecasting and Social Change, Elsevier, vol. 99(C), pages 355-376.
    10. Braun, Benjamin, 2016. "Gross, greed, and ETFs: The case for a microfounded political economy of the investment chain," economic sociology_the european electronic newsletter, Max Planck Institute for the Study of Societies, vol. 17(3), pages 6-13.
    11. Volodymyr Vysochansky, 2012. "On Introduction of Sound Money," Finance vysochansky_volodymyr.522, Socionet.

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    Keywords

    literature review; Exchange Traded Funds;

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