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Applied Financial Economics Volume 18, 2008 - Issue 12
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Original Articles

Impact of ETF inception on the valuation and trading of component stocks

Jeff Madura Florida Atlantic University, USA
&
Thanh Ngo The University of Texas - Pan AmericanCorrespondence[email protected]
Pages 995-1007 | Published online: 24 Jun 2008

Citations (18)

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Read on this site (4)

Klaus S. Beckmann, Daniel Huerta-Sanchez & Thanh N. Ngo. (2020) REIT industry liquidity, valuation, and ownership reactions to ETF inceptions. Applied Economics 52:30, pages 3291-3307.
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Timothy Krause, Sina Ehsani & Donald Lien. (2014) Exchange-traded funds, liquidity and volatility. Applied Financial Economics 24:24, pages 1617-1630.
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Rajarshi Aroskar & Willaim A. Ogden. (2012) An analysis of exchange traded notes tracking errors with their underlying indexes and indicative values. Applied Financial Economics 22:24, pages 2047-2062.
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Michael Hanke & Klaus Schredelseker. (2010) Index funds should be expected to underperform the index. Applied Economics Letters 17:10, pages 991-994.
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Articles from other publishers (14)

James Bentley & Zhangxin (Frank) Liu. (2023) Financial innovation in the uranium mining sector: analysis of an exchange-traded fund and its impact on trading characteristics of uranium stocks. Journal of Accounting Literature 45:3, pages 523-567.
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Abdollah Ah Mand, Abdul Ghafoor & Imtiaz Sifat. (2023) Time-varying price dynamics of clean and dirty energy portfolios. Journal of Environmental Management 337, pages 117687.
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Vanita TripathiAakanksha Sethi. (2021) An Evaluation of the Tracking Performance of Exchange Traded Funds (ETFs): The Case of Indian Index ETFs. Vision: The Journal of Business Perspective 26:3, pages 339-350.
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Chih-Chiang Wu & Wei-Peng Chen. (2022) What's an AI name worth? The impact of AI ETFs on their underlying stocks. Finance Research Letters 46, pages 102474.
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Prabhdeep Kaur & Jaspal Singh. (2021) Impact of ETF Listing on the Returns Generated by Underlying Stocks: Indian Evidence. Management and Labour Studies 46:3, pages 263-288.
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Zura Kakushadze & Juan Andrés SerurZura Kakushadze & Juan Andrés Serur. 2018. 151 Trading Strategies. 151 Trading Strategies 87 97 .
Yue Zhang. (2015) The securitization of gold and its potential impact on gold stocks. Journal of Banking & Finance 58, pages 309-326.
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Timothy A. Krause & Donald Lien. (2014) Implied Volatility Dynamics Among Exchange-Traded Funds and Their Largest Component Stocks. The Journal of Derivatives 22:1, pages 7-26.
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Timothy A Krause & Donald Lien. (2014) Implied Volatility Dynamics Among Exchange-TradedFunds and Their Largest Component Stocks. The Journal of Derivatives, pages 140819042936002.
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Florian Hauser & Bob Kaempff. (2011) Evolution of trading strategies in a market with heterogeneously informed agents. Journal of Evolutionary Economics 23:3, pages 575-607.
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Dennis Y. Chung & Karel Hrazdil. (2013) Speed of convergence to market efficiency in the ETFs market. Managerial Finance 39:5, pages 457-475.
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Zura Kakushadze & Willie Yu. (2021) ETF Risk Models. SSRN Electronic Journal.
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Yue Zhang. (2015) The Securitization of Gold and Its Potential Impact on Gold Stocks. SSRN Electronic Journal.
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Shaen Corbet. (2012) Quantifying the Effects of New Derivative Introduction on Exchange Volatility, Efficiency and Liquidity. SSRN Electronic Journal.
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