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How Index Trading Increases Market Vulnerability
12 references·15 citing·50 second hop
How Index Trading Increases Market Vulnerability (2012)How Index Trading Increases Market Vulner…Recent trends in trading activity and market quality (2011)Recent trends in trading acti…On the Economic Consequences of Index-Linked Investing (2010)On the Economic Consequences …How Active Is Your Fund Manager? A New Measure That Predicts Performance (2009)How Active Is Your Fund Manag…The divergence of liquidity commonality in the cross-section of stocks☆ (2008)The divergence of liquidity c…What Happened to the Quants in August 2007? (2007)What Happened to the Quants i…Changes in Institutional Ownership and Stock Returns: Assessment and Methodology* (2006)Changes in Institutional Owne…Fischer Black and the Revolutionary Idea of Finance (2005)Fischer Black and the Revolut…Illiquidity and stock returns: cross-section and time-series effects (2002)Illiquidity and stock returns…Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)Have Individual Stocks Become…Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2000)Have Individual Stocks Become…Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility (1996)Return Volatility and Trading…The Relation Between Price Changes and Trading Volume: A Survey (1987)The Relation Between Price Ch…The rise of passive investing: a systematic literature review applying PRISMA framework (2024)The rise of passive investing…Does passive investment have a positive governance effect? Evidence from index funds ownership and corporate innovation (2021)Does passive investment have …Asset pricing with index investing (2021)Asset pricing with index inve…The counterparty risk exposure of ETF investors (2019)The counterparty risk exposur…The Shift From Active to Passive Investing: Potential Risks to Financial Stability? (2018)The Shift From Active to Pass…Capital Inflows, Sovereign Debt and Bank Lending: Micro-Evidence from an Emerging Market (2018)Capital Inflows, Sovereign De…Passive Institutional Ownership, R2 Trends, and Price Informativeness (2017)Passive Institutional Ownersh…Exchange Traded Funds (ETFs) (2016)Exchange Traded Funds (ETFs)Momentum strategies with stock index exchange-traded funds (2015)Momentum strategies with stoc…Facts and Fantasies About Commodity Futures Ten Years Later (2015)Facts and Fantasies About Com…Does individual investor trading impact firm valuation? (2015)Does individual investor trad…Exchange-Traded Funds: An Overview of Institutions, Trading, and Impacts (2014)Exchange-Traded Funds: An Ove…Exchange-Traded Funds, Fails-to-Deliver, and Market Volatility (2012)Exchange-Traded Funds, Fails-…What Makes Stock Prices Move? Fundamentals vs. Investor Recognition (2011)What Makes Stock Prices Move?…Inefficiencies in the Pricing of Exchange-Traded Funds (2011)Inefficiencies in the Pricing…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Statistical aspects of ARCH and stochastic volatility (1996)The Economic Value of Volatility Timing (2001)Macroeconomic Factors Do Influence Aggregate Stock Returns (2002)Continuous Auctions and Insider Trading (1985)A Simple Model of Herd Behavior (1992)A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets (1999)Caught on tape: Institutional trading, stock returns, and earnings announcements (2008)Institutional industry herding (2009)Analyst Recommendations, Mutual Fund Herding, and Overreaction in Stock Prices (2013)The Econometrics of Financial Markets (1997)Power Laws in Economics and Finance (2008)Hedge fund leverage (2011)The Econometrics of Financial Markets (2012)Can hedge funds time market liquidity? (2013)The Behavior of Stock-Market Prices (1965)The Information Content of Annual Earnings Announcements (1968)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)Differences of Opinion Make a Horse Race (1993)Market liquidity and volume around earnings announcements (1994)Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data (1998)The Econometrics of Event Studies (2004)Does the stock market value bank diversification? (2007)A Rational Theory of Mutual Funds' Attention Allocation (2016)F. Ausblick auf die literarischen Horizonte von Ri 1.17–21 am Übergang von Jos zu Ri (2016)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)The distribution of realized stock return volatility (2001)Asymmetric correlations of equity portfolios (2002)Default Risk in Equity Returns (2004)Editor's Choice Digesting Anomalies: An Investment ApproachThe Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)On Persistence in Mutual Fund Performance (1997)Liquidity Risk and Expected Stock Returns (2003)Asset pricing with liquidity risk (2005)Risk, Return, and Equilibrium: Empirical Tests (1973)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)The effect of information quality on liquidity risk (2011)Illiquidity Contagion and Liquidity Crashes (2012)Commonality in Liquidity: A Demand-Side Explanation (2016)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Measuring Mutual Fund Performance with Characteristic‐Based Benchmarks (1997)Luck versus Skill in the Cross‐Section of Mutual Fund Returns (2010)Measuring skill in the mutual fund industry (2015)Liquidity Measurement Problems in Fast, Competitive Markets: Expensive and Cheap Solutions (2012)Do Dark Pools Harm Price Discovery? (2013)Very fast money: High-frequency trading on the NASDAQ (2013)
this work references cited by second hop

References

  • 2002Illiquidity and stock returns: cross-section and time-series effects10,008 cited
  • 2001Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk2,419 cited
  • 1987The Relation Between Price Changes and Trading Volume: A Survey2,380 cited
  • 2009How Active Is Your Fund Manager? A New Measure That Predicts Performance1,660 cited
  • 1996Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility1,021 cited
  • 2000Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk663 cited
  • 2011Recent trends in trading activity and market quality473 cited
  • 2006Changes in Institutional Ownership and Stock Returns: Assessment and Methodology*386 cited
  • 2007What Happened to the Quants in August 2007?306 cited
  • 2008The divergence of liquidity commonality in the cross-section of stocks☆278 cited
  • 2005Fischer Black and the Revolutionary Idea of Finance172 cited
  • 2010On the Economic Consequences of Index-Linked Investing135 cited

Cited by

  • 2018Capital Inflows, Sovereign Debt and Bank Lending: Micro-Evidence from an Emerging Market43 cited
  • 2011What Makes Stock Prices Move? Fundamentals vs. Investor Recognition39 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

  • 2016Exchange Traded Funds (ETFs)36 cited
  • 2015Facts and Fantasies About Commodity Futures Ten Years Later36 cited
  • 2018The Shift From Active to Passive Investing: Potential Risks to Financial Stability?32 cited
  • 2021Asset pricing with index investing30 cited
  • 2014Exchange-Traded Funds: An Overview of Institutions, Trading, and Impacts29 cited
  • 2011Inefficiencies in the Pricing of Exchange-Traded Funds27 cited
  • 2021Does passive investment have a positive governance effect? Evidence from index funds ownership and corporate innovation26 cited
  • 2019The counterparty risk exposure of ETF investors24 cited
  • 2015Momentum strategies with stock index exchange-traded funds24 cited
  • 2017Passive Institutional Ownership, R2 Trends, and Price Informativeness23 cited
  • 2015Does individual investor trading impact firm valuation?22 cited
  • 2024The rise of passive investing: a systematic literature review applying PRISMA framework20 cited
  • 2012Exchange-Traded Funds, Fails-to-Deliver, and Market Volatility20 cited