| Reference: | Brockman, P. and D.Y. Chung (1999): “Bid-Ask Components in an Order-driven Environment,” Journal of Financial Research, 22, 227- 246.
Clarke, J., and K., Shastri (2001): “Adverse Selection Costs and Closed-End Funds,” Working Paper, Financial Economics Network.
Chang Chan and Sing-Yang Hu, (2001): “The Review of the Liquidity Measure,” Proceedings of the National Science Council, Republic of China, Part C: Humanities and Social Science, 11, 205-221.
Cohen, K., W., Ness, H., Okuda, R., Schwartz, and D., Whitcomb (1976): “The Determinants of Stock Returns Volatility: An International Comparison,” Journal of Finance, 31, 733-740.
Edward, F.R. (1988): “Does Futures Trading Increase Stock Market Volatilities?” Financial Analysts Journal, 44, 63-69.
Fremault, A. (1991): “Stock Index Future and Index Arbitrage in A Rational Expectations Model,” Journal of Business, 64, 523-547.
Gammill, J.F., and A.F. Perold (1989): “The Changing Character of Stock Market Liquidity.” Journal of Portfolio Managements, 15, 13-18.
George, T.J., G. Kaul, and M. Nimalendran (1991): “Estimation of the Bid-Ask Spread and Its Components: A New Approach,” Review of Financial Studies 4, 623-656.
Glosten, L.R. (1994): “Is the Electronic Open Limit Order Book Inevitable?” Journal of Finance, 49, 1127-1161.
Glosten, L.R., and L.E. Harris (1988): “Estimating the Components of the Bid/Ask Spread,” Journal of Financial Economics, 21, 123-142.
Gorton, G., and G. Pennacchi (1993): “Security Baskets and Indexlinked Securities,” Journal of Business, 66, 1-27.
Harris, L. (1989): “S&P 500 Cash Stock Price Volatility.” Journal of Finance, 44, 1155-1175.
Hedge, S., and J. McDermott (2004): “The Market Liquidity of DIAMONDS, Q’s, and Their Underlying Stocks,” Journal of Banking & Finance, 28, 1043-1067.
Huang, R.D., and H.R. Stoll, (1997): “The Components of the Bid-Ask Spread: A General Approach,” Review of Financial Studies, 10,995-1034.
Jegadeesh, N., and A. Subrahmanyam (1993): “Liquidity Effects of the Introduction of the S&P 500 Index Futures Contract on the Underlying Stock,” Journal of Business, 66, 171-187.
Kumar R., A. Sarin, and K. Shastri (1998): “The Impact of Options Trading on the Market Quality of the Underlying Security: An Empirical Analysis.” Journal of Finance, 53, 717-733.
Kumar, P., and D. Seppi (1994): “Information and Index Arbitrage,” Journal of Business, 67, 481-509.
Kyle, A.S. (1985): “Continuous Auctions and Insider Trading,” Econometrica, 53, 1315-1335.
Lesmond, D.A. (2005): “Liquidity of Emerging Markets,” Journal of Financial Economics, 77, 411-452.
Lin, J.C., G. C. Sanger, and G.. G. Booth (1995): “Trade Size and Components of the Bid-Ask Spread,” Review of Financial Studies, 8, 1153-1183.
Madhavan, A., M. Richardson, and M. Roomans (1997): “Why Do Security Prices Change? A Transaction-Level Analysis of NYSE Stocks,” Review of Financial Studies, 10, 1035-1064.
Richie, N., and J. Madura (2005): “Impact of the QQQ on Liquidity, Pricing Efficiency, and Risk of the Underlying Stocks,” Conference Paper, Financial Management Association International.
Small, K. (2004): “Basket Security Concentration and Adverse Selection,” Conference Paper, Southern Finance Association’s Annual Conference.
Subrahmanyam, A. (1991): “A Theory of Trading in Stock Index Futures,” Review of Financial Studies, 4, 17-51.
Stoll, H.R. (1989): “Inferring the Components of the Bid-Ask Spread: Theory and Empirical Test,” Journal of Finance, 44, 115-134.
Van Ness, B., R. Van Ness, and R. Warr (2005): “The Impact of the Introduction of Index Securities on the Underlying Stocks-The Case of the Diamonds and the Dow 30,” Advances in Quantitative Analysis of Finance and Accounting, 2, 105-128.
Winne R.D., and C. Majois (2004): “A Comparison of Alternative Spread Decomposition Models on Euronext Brussels,” Working paper, Social Science Research Network.
Zivot E. (2005): “Analysis of High Frequency Financial Data: Models, Methods and Software. Part I: Descriptive Analysis of High Frequency Financial Data with S-PLUS.” Working Paper, Department of Economics, University of Washington. |
