Cubes to quads: The move of QQQ from AMEX to NASDAQ

Broom, Kevin D.; Ness, Robert A. Van; Warr, Richard S.

doi:10.1016/j.jeconbus.2007.01.002

Cited by 8 publications

(7 citation statements)

References 16 publications

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“…This is the place on the QQQQ pricing deviation figure where a structural break appears in the QQQQ pricing deviation line. Broom et al (2007) examine this event and find a decrease in QQQQ trading costs. A Chow Breakpoint Test is performed to test for a structural break in the pricing deviation of QQQQ around the move.…”

Section: Discussionmentioning

confidence: 98%

High‐frequency analysis of exchange traded funds' pricing deviation

Ivanov

2013

Managerial Finance

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PurposeThe purpose of this study is to extend the work of DeFusco, Ivanov and Karels by examining pricing deviation of DIA, SPY and QQQQ on intradaily basis.Design/methodology/approachThe DIA is designed to be one hundredth of the DJIA, the SPY is designed to be one tenth of the S&P 500 and QQQQ is designed to be one fortieth of the NASDAQ 100. This feature of ETFs requires the estimation of the difference between the proportional level of the index and the price of the ETF, which is the ETF pricing deviation.FindingsThe paper finds that the DIA, SPY and QQQQ pricing deviations are 0.0429, −0.0743 and 0.4298, respectively. The findings indicate that the prices of DIA and QQQQ are on average lower than the underlying indexes. SPY is the exception having a price which is higher than the theoretical price of the S&P 500 index. The author finds that this is due to the increased demand for the SPY. Additionally, the paper provides an explanation for the large change (increase) in the pricing deviation of QQQQ after December 1, 2004 which DeFusco, Ivanov and Karels could not explain. On December 1, 2004 QQQQ trading was consolidated on NASDAQ. The paper finds negative growth in the volume of QQQQ after December 1, 2004 indicating decrease in popularity of this ETF. The decrease in popularity of QQQQ might explain the increase in its pricing deviation.Research limitations/implicationsThe paper uses high frequency data in the analysis of pricing deviation which might be artificially deflating standard errors and thus inflating the t‐test significance values.Originality/valueThe paper contributes to the ongoing search in the finance literature of precision ETF performance metrics.

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Section: Discussionmentioning

confidence: 98%

High‐frequency analysis of exchange traded funds' pricing deviation

Ivanov

2013

Managerial Finance

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“…Initially the Cubes were 1/20 of the NASDAQ 100 index on March 20, 2000 they were changed to be 1/40 of the index. On December 1, 2004 the ticker symbol of Cubes was changed from QQQ to QQQQ due to the move of trading of Cubes from AMEX to NASDAQ (Broom et al 2007).…”

Section: Empirical Properties Of Etfs and Hypotheses Testsmentioning

confidence: 99%

The exchange traded funds’ pricing deviation: analysis and forecasts

2009

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“…This paper extends the work of Ivanov (2014), Broom et al (2007), DeFusco et al (2011), Ivanov (2013, Bakshi et al (2003), Buraschi and Jackwerth (2001), Lakonishok et al (2004), Eraker et al (2003) and Wagner and Szimayer (2004). Ivanov (2014) examines the speculation-hedging relation in QQQ option markets around the QQQ move from AMEX to NASDAQ because there were improvements in its market trading efficiency after the move, as documented by Broom et al (2007). He uses the nonparametric tools of spectral analysis to determine if such a relation exists, because option implied volatility is non-normally distributed.…”

Section: Literature Reviewmentioning

confidence: 71%

“…Our study differs from Ivanov's study in that we examine the influence and behaviour of spot volatility on option implied volatility, whereas Ivanov studies only option markets. Broom et al (2007) study the microstructure effects of the QQQ move from AMEX to NASDAQ, and find a decrease in QQQ trading fragmentation and increase in consolidation of trading after the move to NASDAQ and reduced trading costs. They find that before the move, QQQ has been traded on all exchanges and Electronic Communication Networks (ECNs) -NASDAQ, AMEX, NYSE, Boston, Cincinnati, Chicago, Pacific and Philadelphia exchanges -whereas after the move, NYSE, Boston and Philadelphia exchanges did not trade QQQQ any longer.…”

Section: Literature Reviewmentioning

confidence: 99%

Analysis of the QQQ spot and option volatility behaviour around the QQQ move from AMEX to NASDAQ

Ivanov

2015

IJFSM

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In this paper, we study the behaviour of QQQ volatility in the spot and option markets around QQQ's move from AMEX to NASDAQ on 1 December 2004. We test whether the QQQ option implied volatility has changed around this event and whether this was a result of a change in spot volatility or hedging demand. We find that indeed the QQQ option implied volatility has changed around the time of the move. We document that neither QQQ spot volatility nor speculation has had an impact on the implied volatility change. We find that investor hedging activity is the driving force behind this change, in support of Bollen and Whaley's net buying pressure hypothesis. To the best of our knowledge, analysis of spot and option markets around moves of trading from one exchange to another and name changes have not been done before.Reference to this paper should be made as follows: Ivanov, S.I. (2015) 'Analysis of the QQQ spot and option volatility behaviour around the QQQ move from AMEX to NASDAQ', Int.

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Cubes to quads: The move of QQQ from AMEX to NASDAQ

Cited by 8 publications

References 16 publications

High‐frequency analysis of exchange traded funds' pricing deviation

High‐frequency analysis of exchange traded funds' pricing deviation

The exchange traded funds’ pricing deviation: analysis and forecasts

Analysis of the QQQ spot and option volatility behaviour around the QQQ move from AMEX to NASDAQ

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