메뉴 건너뛰기




Volumn 23, Issue 2, 2004, Pages 149-166

Can Island provide liquidity and price discovery in the dark

Author keywords

liquidity; market transparency; price discovery; QQQ; trade through rule

Indexed keywords


EID: 4444264487     PISSN: 0924865X     EISSN: None     Source Type: Journal    
DOI: 10.1023/B:REQU.0000039509.49244.da     Document Type: Article
Times cited : (8)

References (38)
  • 3
  • 4
    • 0043032949 scopus 로고    scopus 로고
    • Trading Your Neighbor's ETFs: Competition or Fragmentation
    • Boehmer, B. and E. Boehmer, "Trading Your Neighbor's ETFs: Competition or Fragmentation." Journal of Banking and Finance 27, 1667-1703 (2003).
    • (2003) Journal of Banking and Finance , vol.27 , pp. 1667-1703
    • Boehmer, B.1    Boehmer, E.2
  • 6
    • 0031161635 scopus 로고    scopus 로고
    • Price and Volatility Spillovers in Scandinavian Stock Markets
    • Booth, G. G., T. Martikainen and Y. Tse, "Price and Volatility Spillovers in Scandinavian Stock Markets." Journal of Banking and Finance 21, 811-823 (1997).
    • (1997) Journal of Banking and Finance , vol.21 , pp. 811-823
    • Booth, G.G.1    Martikainen, T.2    Tse, Y.3
  • 7
    • 0033438657 scopus 로고    scopus 로고
    • Price Discovery in the German Equity Index Derivatives Markets
    • Booth, G. G., R. W. So and Y. Tse, "Price Discovery in the German Equity Index Derivatives Markets." Journal of Futures Markets 19, 619-643 (1999).
    • (1999) Journal of Futures Markets , vol.19 , pp. 619-643
    • Booth, G.G.1    So, R.W.2    Tse, Y.3
  • 8
    • 0000183335 scopus 로고
    • Intraday Volatility in the Stock Index and Stock Index Futures Markets
    • Chan, K., K. C. Chan and G. A. Karolyi, "Intraday Volatility in the Stock Index and Stock Index Futures Markets." Review of Financial Studies 4, 657-684 (1991).
    • (1991) Review of Financial Studies , vol.4 , pp. 657-684
    • Chan, K.1    Chan, K.C.2    Karolyi, G.A.3
  • 9
    • 4444322061 scopus 로고    scopus 로고
    • ArcaEx Becomes ETF Electronic Strongman
    • Nov. 1
    • Chapman, P., "ArcaEx Becomes ETF Electronic Strongman." Traders Magazine, Nov. 1 (2002).
    • (2002) Traders Magazine
    • Chapman, P.1
  • 10
    • 0033475018 scopus 로고    scopus 로고
    • Price Discovery on the S&P 500 Index Markets: An Analysis of Spot Index, Index Futures and SPDRs
    • Chu, Q. C., W. G. Hsieh, and Y. Tse, "Price Discovery on the S&P 500 Index Markets: An Analysis of Spot Index, Index Futures and SPDRs." International Review of Financial Analysis 8, 21-34 (1999)
    • (1999) International Review of Financial Analysis , vol.8 , pp. 21-34
    • Chu, Q.C.1    Hsieh, W.G.2    Tse, Y.3
  • 11
    • 4444304667 scopus 로고    scopus 로고
    • Island Faces Deadline to Join NMS
    • Sept. 23
    • Clary, I., "Island Faces Deadline to Join NMS." Securities Industry News, Sept. 23 (2002a).
    • (2002) Securities Industry News
    • Clary, I.1
  • 12
    • 4444370472 scopus 로고    scopus 로고
    • ITS Committee Mulls Trade-Through Rules
    • Oct. 28
    • Clary, I., "ITS Committee Mulls Trade-Through Rules." Securities Industry News, Oct. 28 (2002b).
    • (2002) Securities Industry News
    • Clary, I.1
  • 13
    • 0036112241 scopus 로고    scopus 로고
    • Measures of Contribution to Price Discovery: A Comparison
    • de Jong, F., "Measures of Contribution to Price Discovery: A Comparison." Journal of Financial Markets 5, 323-372 (2002).
    • (2002) Journal of Financial Markets , vol.5 , pp. 323-372
    • De Jong, F.1
  • 14
    • 0032545911 scopus 로고    scopus 로고
    • Price Discovery in the Foreign Exchange Market: An Empirical Analysis of the Yen/Dmark Rate
    • de Jong, F., R. Mahieu and P. Schotman, "Price Discovery in the Foreign Exchange Market: An Empirical Analysis of the Yen/Dmark Rate." Journal of International Money and Finance 17, 5-27 (1998).
    • (1998) Journal of International Money and Finance , vol.17 , pp. 5-27
    • De Jong, F.1    Mahieu, R.2    Schotman, P.3
  • 15
    • 0033227833 scopus 로고    scopus 로고
    • An Investigation of Price Discovery in Informationally-Linked Markets: Equity Trading in Malaysia and Singapore
    • Ding, D. K., F. H. deB. Harris, S. T. Lau, and T. H. McInish, "An Investigation of Price Discovery in Informationally-Linked Markets: Equity Trading in Malaysia and Singapore." Journal of Multinational Financial Management 9, 317-329 (1999).
    • (1999) Journal of Multinational Financial Management , vol.9 , pp. 317-329
    • Ding, D.K.1    DeB Harris, F.H.2    Lau, S.T.3    McInish, T.H.4
  • 16
    • 0000013567 scopus 로고
    • Co-Integration and Error Correction: Representation, Estimation, and Testing
    • Engle, R. F. and C. W. J. Granger, "Co-Integration and Error Correction: Representation, Estimation, and Testing." Econometrica 55, 251-276 (1987).
    • (1987) Econometrica , vol.55 , pp. 251-276
    • Engle, R.F.1    Granger, C.W.J.2
  • 17
  • 19
    • 4444374792 scopus 로고    scopus 로고
    • Introductory Comments: Bloomfield and O'Hara, and Flood, Huisman, Koedijk, and Mahieu
    • Glosten, L. R., "Introductory Comments: Bloomfield and O'Hara, and Flood, Huisman, Koedijk, and Mahieu." Review of Financial Studies 12, 1-3 (1999).
    • (1999) Review of Financial Studies , vol.12 , pp. 1-3
    • Glosten, L.R.1
  • 20
    • 84952524237 scopus 로고
    • Estimation of Common Long-Memory Components in Cointegrated Systems
    • Gonzalo, J. and C. W. J. Granger, "Estimation of Common Long-Memory Components in Cointegrated Systems." Journal of Business & Economic Statistics 13, 27-35 (1995).
    • (1995) Journal of Business & Economic Statistics , vol.13 , pp. 27-35
    • Gonzalo, J.1    Granger, C.W.J.2
  • 21
    • 4444312356 scopus 로고    scopus 로고
    • The Dynamics of Rice Adjustment across Exchanges: An Investigation of Rice Discovery for Dow Stocks
    • Harris, F. H. deB., T. H. McInish and R. A. Wood, "The Dynamics of Rice Adjustment across Exchanges: An Investigation of Rice Discovery for Dow Stocks." Journal of Financial Markets 5, 227-308 (2002a).
    • (2002) Journal of Financial Markets , vol.5 , pp. 227-308
    • DeB Harris, F.H.1    McInish, T.H.2    Wood, R.A.3
  • 23
    • 21144470682 scopus 로고
    • Assessing the Quality of a Security Market: A New Approach to Transaction-Cost Measurement
    • Hasbrouck, J., "Assessing the Quality of a Security Market: A New Approach to Transaction-Cost Measurement." Review of Financial Studies 6, 191-212 (1993).
    • (1993) Review of Financial Studies , vol.6 , pp. 191-212
    • Hasbrouck, J.1
  • 24
    • 84993849369 scopus 로고
    • One Security, Many Markets: Determining the Contributions to Rice Discovery
    • Hasbrouck, J., "One Security, Many Markets: Determining the Contributions to Rice Discovery." Journal of Finance 50, 1175-1199 (1995).
    • (1995) Journal of Finance , vol.50 , pp. 1175-1199
    • Hasbrouck, J.1
  • 25
    • 0036111833 scopus 로고    scopus 로고
    • Stalking the "Efficient Rice" in Market Microstructure Specifications: An Overview
    • Hasbrouck, J., "Stalking the "Efficient Rice" in Market Microstructure Specifications: An Overview." Journal of Financial Markets 5, 329-339 (2002).
    • (2002) Journal of Financial Markets , vol.5 , pp. 329-339
    • Hasbrouck, J.1
  • 26
    • 0345016441 scopus 로고    scopus 로고
    • Intraday Price Formation in U.S. Equity Index Markets
    • Hasbrouck, J., "Intraday Price Formation in U.S. Equity Index Markets." Journal of Finance 58, 2375-2400 (2003).
    • (2003) Journal of Finance , vol.58 , pp. 2375-2400
    • Hasbrouck, J.1
  • 28
    • 0010122224 scopus 로고    scopus 로고
    • The Quality of ECN and Nasdaq Market Maker Quotes
    • Huang, R., "The Quality of ECN and Nasdaq Market Maker Quotes." Journal of Finance 5, 1285-1319 (2002).
    • (2002) Journal of Finance , vol.5 , pp. 1285-1319
    • Huang, R.1
  • 29
    • 0000206457 scopus 로고
    • Asymmetric Volatility Transmission in International Stock Markets
    • Koutomos, G. and G. G. Booth, "Asymmetric Volatility Transmission in International Stock Markets." Journal of International Money and Finance 14, 747-762 (1995).
    • (1995) Journal of International Money and Finance , vol.14 , pp. 747-762
    • Koutomos, G.1    Booth, G.G.2
  • 30
    • 0036099041 scopus 로고    scopus 로고
    • Some Desiderata for the Measurement of Price Discovery across Markets
    • Lehman, B. N. "Some Desiderata for the Measurement of Price Discovery across Markets." Journal of Financial Markets 5, 259-276 (2002).
    • (2002) Journal of Financial Markets , vol.5 , pp. 259-276
    • Lehman, B.N.1
  • 31
    • 0032324633 scopus 로고    scopus 로고
    • Price Discovery in High and Low Volatility Periods: Open Outcry versus Electronic Trading
    • Martens, M., "Price Discovery in High and Low Volatility Periods: Open Outcry versus Electronic Trading." Journal of International Financial Markets, Institutions and Money 8, 243-260 (1998).
    • (1998) Journal of International Financial Markets, Institutions and Money , vol.8 , pp. 243-260
    • Martens, M.1
  • 32
    • 0009239743 scopus 로고    scopus 로고
    • The Inefficiency of Reuters Foreign Exchange Quotes
    • Martens, M. and P. Kofman, "The Inefficiency of Reuters Foreign Exchange Quotes." Journal of Banking and Finance 22, 347-366 (1998).
    • (1998) Journal of Banking and Finance , vol.22 , pp. 347-366
    • Martens, M.1    Kofman, P.2
  • 33
    • 0000641348 scopus 로고
    • Conditional Heteroskedasticity in Asset Returns: A New Approach
    • Nelson, D. B., "Conditional Heteroskedasticity in Asset Returns: A New Approach." Econometrica 59, 347-370 (1991).
    • (1991) Econometrica , vol.59 , pp. 347-370
    • Nelson, D.B.1
  • 34
    • 84977718754 scopus 로고
    • Information and Volatility: The No-Arbitrage Martingale Approach to Timing and Resolution Irrelevancy
    • Ross, S., "Information and Volatility: The No-Arbitrage Martingale Approach to Timing and Resolution Irrelevancy." Journal of Finance 44, 1-17 (1989).
    • (1989) Journal of Finance , vol.44 , pp. 1-17
    • Ross, S.1
  • 35
    • 4444281544 scopus 로고    scopus 로고
    • Island Sees ETF Market Share Decreases after Yanking its Publicly Displayed
    • Oct. 31
    • Sales, R., "Island Sees ETF Market Share Decreases after Yanking its Publicly Displayed." Wall Street & Technology, Oct. 31 (2002).
    • (2002) Wall Street & Technology
    • Sales, R.1
  • 36
    • 0040560193 scopus 로고    scopus 로고
    • Market Microstructure of FT-SE 100 Index Futures: An Intraday Empirical Analysis
    • Tse, Y., "Market Microstructure of FT-SE 100 Index Futures: An Intraday Empirical Analysis." Journal of Futures Markets 19, 31-58 (1999).
    • (1999) Journal of Futures Markets , vol.19 , pp. 31-58
    • Tse, Y.1
  • 37
    • 0142028875 scopus 로고    scopus 로고
    • Competition for Order Flow, Market Quality and Rice Discovery in the Nasdaq 100 Index Tracking Stock
    • Tse, Y. and G. Erenburg, "Competition for Order Flow, Market Quality and Rice Discovery in the Nasdaq 100 Index Tracking Stock." Journal of Financial Research 26, 301-318 (2003).
    • (2003) Journal of Financial Research , vol.26 , pp. 301-318
    • Tse, Y.1    Erenburg, G.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.