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Decimalization, trading costs, and information transmission between ETFs and index futures
16 references·15 citing·43 second hop
Decimalization, trading costs, and information transmission between ETFs and index futures (2005)Decimalization, trading costs, and inform…Trade Execution Costs and Market Quality after Decimalization (2003)Trade Execution Costs and Mar…Range‐Based Estimation of Stochastic Volatility Models (2002)Range‐Based Estimation of Sto…Price discovery and common factor models (2002)Price discovery and common fa…Presidential Address: Friction (2000)Presidential Address: FrictionWhy Do Security Prices Change? A Transaction-Level Analysis of NYSE Stocks (1997)Why Do Security Prices Change…Liquidity Provision with Limit Orders and a Strategic Specialist (1997)Liquidity Provision with Limi…Dealer versus auction markets: A paired comparison of execution costs on NASDAQ and the NYSE (1996)Dealer versus auction markets…One Security, Many Markets: Determining the Contributions to Price Discovery (1995)One Security, Many Markets: D…Inferring Trade Direction from Intraday Data (1991)Inferring Trade Direction fro…Estimation of the Bid–Ask Spread and Its Components: A New Approach (1991)Estimation of the Bid–Ask Spr…Testing for a Unit Root in Time Series Regression (1988)Testing for a Unit Root in Ti…Estimating the components of the bid/ask spread (1988)Estimating the components of …Trading Mechanisms and Stock Returns: An Empirical Investigation (1987)Trading Mechanisms and Stock …A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)A Simple Implicit Measure of …The Extreme Value Method for Estimating the Variance of the Rate of Return (1980)The Extreme Value Method for …Specification Tests in Econometrics (1978)Specification Tests in Econom…Trading activity and price discovery in Bitcoin futures markets (2021)Trading activity and price di…Price discovery among SSE 50 Index‐based spot, futures, and options markets (2018)Price discovery among SSE 50 …ETF Premiums and Liquidity Segmentation (2018)ETF Premiums and Liquidity Se…Do ETFs lead the price moves? Evidence from the major US markets (2017)Do ETFs lead the price moves?…Determinants of price discovery in the VIX futures market (2017)Determinants of price discove…Are US-Dollar-Hedged-ETF investors aggressive on exchange rates? A panel VAR approach (2016)Are US-Dollar-Hedged-ETF inve…Price Discovery in Thinly Traded Futures Markets: How Thin is Too Thin? (2015)Price Discovery in Thinly Tra…Dynamic spillover effects in futures markets: UK and US evidence (2015)Dynamic spillover effects in …The timeline of trading frictions in the European carbon market (2014)The timeline of trading frict…Analysis of DJIA, S&P 500, S&P 400, NASDAQ 100 and Russell 2000 ETFs and their influence on price discovery (2013)Analysis of DJIA, S&P 500, S&…The exchange traded funds’ pricing deviation: analysis and forecasts (2009)The exchange traded funds’ pr…The efficiency of international information flow: Evidence from the ETF and CEF prices (2009)The efficiency of internation…Strategic order splitting, order choice, and aggressiveness: Evidence from the Taiwan futures exchange (2009)Strategic order splitting, or…Tick sizes and relative rates of price discovery in stock, futures, and options markets: Evidence from the Taiwan stock exchange (2008)Tick sizes and relative rates…Tick size reduction, execution costs, and informational efficiency in the regular and E‐mini Nasdaq‐100 index futures markets (2008)Tick size reduction, executio…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Continuous Auctions and Insider Trading (1985)Market microstructure and asset pricing: On the compensation for illiquidity in stock returns (1996)Alternative factor specifications, security characteristics, and the cross-section of expected stock returns1We are especially grateful to Eugene Fama (a referee), an anonymous referee and Bill Schwert (the editor) for insightful and constructive suggestions. We also thank Wayne Ferson, Ken French, Will Goetzmann, Craig Holden, Ravi Jagannathan, Bob Jennings, Bruce Lehmann, Josef Lakonishok, Richard Roll, participants at the 1997 Meetings of the Western Finance Association, the 1997 UCLA/USC/UC Irvine conference, the November 1997 Asset Pricing Meeting of the National Bureau of Economic Research, the Atlanta Forum, and seminars at Columbia, Indiana, Florida, New York, Tulane, and Yale Universities; Eugene Fama and Ken French for providing part of the data used in this study; and Christoph Schenzler for excellent programming assistance. The second author acknowledges support from the Dean's Fund for Research and the Financial Markets Research Center at Vanderbilt University. We are responsible for remaining errors. This paper was formerly titled `A Re-Examination of Security Return Anomalies'.1 (1998)Liquidity and stock returns: An alternative test (1998)A Theory of Intraday Patterns: Volume and Price Variability (1988)Momentum and post-earnings-announcement drift anomalies: The role of liquidity risk (2005)The Relative Contribution of Jumps to Total Price Variance (2005)Liquidity and Market Efficiency (2007)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Trends and random walks in macroeconmic time series (1982)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Unit root tests in panel data: asymptotic and finite-sample properties (2002)A simple panel unit root test in the presence of cross‐section dependence (2007)On the Pooling of Time Series and Cross Section Data (1978)Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations (1991)Econometric Analysis of Cross Section and Panel Data (2001)Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches (2008)The Cross-Section of Expected Stock Returns (1992)Advertising, Breadth of Ownership, and Liquidity (2003)The illusory nature of momentum profits (2003)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Cointegration and Tests of Present Value Models (1987)Market microstructure: A survey (2000)An Empirical Analysis of the Dynamic Relation between Investment‐Grade Bonds and Credit Default Swaps (2005)Realized Variance and Market Microstructure Noise (2006)The Behavior of Stock-Market Prices (1965)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)Efficient Capital Markets: II (1991)The Pricing of Options and Corporate Liabilities (1973)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)There is a risk-return trade-off after all (2005)Volatility forecast comparison using imperfect volatility proxies (2010)Stock Market Volatility and Macroeconomic Fundamentals (2012)Theory of Financial Decision Making. (1988)Forecasting Volatility in Financial Markets: A Review (2003)Does Algorithmic Trading Improve Liquidity? (2011)Commonality in liquidity (2000)Is Information Risk a Determinant of Asset Returns? (2002)
this work references cited by second hop

References

  • 1988Testing for a Unit Root in Time Series Regression19,288 cited
  • 1978Specification Tests in Econometrics18,788 cited
  • 1991Inferring Trade Direction from Intraday Data3,150 cited
  • 1984A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market2,748 cited
  • 1980The Extreme Value Method for Estimating the Variance of the Rate of Return1,946 cited
  • 1995One Security, Many Markets: Determining the Contributions to Price Discovery1,625 cited
  • 1988Estimating the components of the bid/ask spread1,612 cited
  • 2002Range‐Based Estimation of Stochastic Volatility Models1,215 cited
  • 1996Dealer versus auction markets: A paired comparison of execution costs on NASDAQ and the NYSE1,009 cited
  • 1997Why Do Security Prices Change? A Transaction-Level Analysis of NYSE Stocks960 cited
  • 1987Trading Mechanisms and Stock Returns: An Empirical Investigation769 cited
  • 2000Presidential Address: Friction681 cited
  • 1991Estimation of the Bid–Ask Spread and Its Components: A New Approach594 cited
  • 2002Price discovery and common factor models546 cited
  • 1997Liquidity Provision with Limit Orders and a Strategic Specialist518 cited

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  • 2003Trade Execution Costs and Market Quality after Decimalization512 cited
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    • 2009Strategic order splitting, order choice, and aggressiveness: Evidence from the Taiwan futures exchange60 cited
    • 2008Tick sizes and relative rates of price discovery in stock, futures, and options markets: Evidence from the Taiwan stock exchange60 cited
    • 2018Price discovery among SSE 50 Index‐based spot, futures, and options markets58 cited
    • 2014The timeline of trading frictions in the European carbon market57 cited
    • 2017Determinants of price discovery in the VIX futures market57 cited
    • 2009The exchange traded funds’ pricing deviation: analysis and forecasts49 cited
    • 2015Dynamic spillover effects in futures markets: UK and US evidence48 cited
    • 2015Price Discovery in Thinly Traded Futures Markets: How Thin is Too Thin?47 cited
    • 2021Trading activity and price discovery in Bitcoin futures markets47 cited
    • 2018ETF Premiums and Liquidity Segmentation32 cited
    • 2008Tick size reduction, execution costs, and informational efficiency in the regular and E‐mini Nasdaq‐100 index futures markets31 cited
    • 2016Are US-Dollar-Hedged-ETF investors aggressive on exchange rates? A panel VAR approach29 cited
    • 2013Analysis of DJIA, S&P 500, S&P 400, NASDAQ 100 and Russell 2000 ETFs and their influence on price discovery28 cited
    • 2017Do ETFs lead the price moves? Evidence from the major US markets27 cited
    • 2009The efficiency of international information flow: Evidence from the ETF and CEF prices26 cited