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Do ETFs lead the price moves? Evidence from the major US markets · Study

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ArticleDo ETFs lead the price moves? Evidence from the major US markets

Mike J. Buckle2017

Article2017

Do ETFs lead the price moves? Evidence from the major US markets

Mike J. Buckle · Jing Chen · Qian Guo · Chen Tong

27 citations·0/0 files stored·International Review of Financial Analysis

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Financial Markets and Investment Strategies Financial Risk and Volatility Modeling Market Dynamics and Volatility

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References

1990MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY 1988Testing for Common Trends 1995One Security, Many Markets: Determining the Contributions to Price Discovery 1995Estimation of Common Long-Memory Components in Cointegrated Systems 1997Why Do Security Prices Change? A Transaction-Level Analysis of NYSE Stocks 1992Common stochastic trends in international stock markets 1990The Dynamics of Stock Index and Stock Index Futures Returns 2002The Message in Daily Exchange Rates

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Year2017

Typearticle

Published2017-12-19

VenueInternational Review of Financial Analysis

ISSN-L1057-5219

Languageen

Citations27

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1016/j.irfa.2017.12.005

openalex_workW2779666376

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