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

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

Shantaram P. Hegde2003

Article2003

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

Shantaram P. Hegde · John B. McDermott

125 citations·0/0 files stored·Journal of Banking & Finance

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Financial Markets and Investment Strategies Corporate Finance and Governance Financial Risk and Volatility Modeling

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References

1985Continuous Auctions and Insider Trading 1991Inferring Trade Direction from Intraday Data 1988A Theory of Intraday Patterns: Volume and Price Variability 1984A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market 1980The Extreme Value Method for Estimating the Variance of the Rate of Return 1968The Cost of Transacting 1983Information Effects on the Bid-Ask Spread 1988Estimating the components of the bid/ask spread

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Year2003

Typearticle

Published2003-04-05

VenueJournal of Banking & Finance

ISSN-L0378-4266

Languageen

Citations125

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1016/s0378-4266(03)00043-8

openalex_workW2007460156

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The effect of ETFs on financial markets: a literature review

2011Market Liquidity and Flow-driven Risk