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The market liquidity of DIAMONDS, Q's, and their underlying stocks

Citations

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Cited by:

  1. Ivanov, Stoyu I., 2016. "Analysis of ETF bid-ask spread components," The Quarterly Review of Economics and Finance, Elsevier, vol. 61(C), pages 249-259.
  2. Shinhua Liu, 2016. "Are SPDR Options Good for the Underlying Stocks?," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 6(04), pages 1-27, December.
  3. John Duffy & Jean Paul Rabanal & Olga A. Rud, 2019. "The Impact of ETFs on Asset Markets: Experimental Evidence," Working Papers 154, Peruvian Economic Association.
  4. 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.
  5. Laurent Deville & Carole Gresse & Béatrice de Séverac, 2014. "Direct and Indirect Effects of Index ETFs on Spot†Futures Pricing and Liquidity: Evidence from the CAC 40 Index," European Financial Management, European Financial Management Association, vol. 20(2), pages 352-373, March.
  6. Jagjeev Dosanjh, 2017. "Exchange Initiatives and Market Efficiency: Evidence from the Australian Securities Exchange," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1-2017.
  7. De Winne, Rudy & Gresse, Carole & Platten, Isabelle, 2014. "Liquidity and risk sharing benefits from opening an ETF market with liquidity providers: Evidence from the CAC 40 index," International Review of Financial Analysis, Elsevier, vol. 34(C), pages 31-43.
  8. Zhang, Yue, 2015. "The securitization of gold and its potential impact on gold stocks," Journal of Banking & Finance, Elsevier, vol. 58(C), pages 309-326.
  9. Marshall, Ben R. & Nguyen, Nhut H. & Visaltanachoti, Nuttawat, 2018. "Do liquidity proxies measure liquidity accurately in ETFs?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 55(C), pages 94-111.
  10. Shynkevich, Andrei, 2012. "Short-term predictability of equity returns along two style dimensions," Journal of Empirical Finance, Elsevier, vol. 19(5), pages 675-685.
  11. Pham, Son D. & Marshall, Ben R. & Nguyen, Nhut H. & Visaltanachoti, Nuttawat, 2021. "The liquidity of active ETFs," Global Finance Journal, Elsevier, vol. 49(C).
  12. Huyen Phuong Do & Bich Ngoc Do & Tra My Nguyen & Thinh Vu Duy, 2021. "Arbitrage with Exchange-traded Funds: A Case of E1VFVN30 Based on Intraday Data," Economic Research Guardian, Weissberg Publishing, vol. 11(1), pages 130-143, June.
  13. Shynkevich, Andrei, 2012. "Performance of technical analysis in growth and small cap segments of the US equity market," Journal of Banking & Finance, Elsevier, vol. 36(1), pages 193-208.
  14. repec:dau:papers:123456789/2742 is not listed on IDEAS
  15. Dannhauser, Caitlin D., 2017. "The impact of innovation: Evidence from corporate bond exchange-traded funds (ETFs)," Journal of Financial Economics, Elsevier, vol. 125(3), pages 537-560.
  16. Luca J. Liebi, 2020. "The effect of ETFs on financial markets: a literature review," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 34(2), pages 165-178, June.
  17. Alexander, C. & Barbosa, A., 2008. "Hedging index exchange traded funds," Journal of Banking & Finance, Elsevier, vol. 32(2), pages 326-337, February.
  18. Prabhdeep Kaur & Jaspal Singh, 2021. "Impact of ETF Listing on the Returns Generated by Underlying Stocks: Indian Evidence," Management and Labour Studies, XLRI Jamshedpur, School of Business Management & Human Resources, vol. 46(3), pages 263-288, August.
  19. Bohl, Martin T. & Irwin, Scott H. & Pütz, Alexander & Sulewski, Christoph, 2023. "The impact of financialization on the efficiency of commodity futures markets," Journal of Commodity Markets, Elsevier, vol. 31(C).
  20. 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;Academy of Economics and Finance, vol. 36(2), pages 261-281, April.
  21. Luqi Yuan & Shihong Zeng, 2023. "The Comparison and Analysis of Exchange Traded Funds (ETFs) Return Rates," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 13(2), pages 1-4.
  22. Piccotti, Louis R., 2020. "Strategic trade when securitized portfolio values are unknown," Journal of Banking & Finance, Elsevier, vol. 115(C).
  23. Staer, Arsenio & Sottile, Pedro, 2018. "Equivalent volume and comovement," The Quarterly Review of Economics and Finance, Elsevier, vol. 68(C), pages 143-157.
  24. 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.
  25. repec:uts:finphd:34 is not listed on IDEAS
  26. Hsu, Po-Hsuan & Hsu, Yu-Chin & Kuan, Chung-Ming, 2010. "Testing the predictive ability of technical analysis using a new stepwise test without data snooping bias," Journal of Empirical Finance, Elsevier, vol. 17(3), pages 471-484, June.
  27. Marina Murdock & Nivine Richie, 2008. "The United States Oil Fund as a hedging instrument," Journal of Asset Management, Palgrave Macmillan, vol. 9(5), pages 333-346, December.
  28. 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.
  29. repec:dau:papers:123456789/7689 is not listed on IDEAS
  30. Laurent Deville, 2008. "Exchange Traded Funds: History, Trading and Research," Post-Print halshs-00162223, HAL.
  31. Shynkevich, Andrei, 2013. "Time-series momentum as an intra- and inter-industry effect: Implications for market efficiency," Journal of Economics and Business, Elsevier, vol. 69(C), pages 64-85.
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