Inter-market competition for exchange traded funds

Nguyen, Vanthuan; Ness, Bonnie F. Van; Ness, Robert R. Van

doi:10.1007/bf02751646

Cited by 9 publications

(8 citation statements)

References 35 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…Following the introduction of options trading, these three exchanges remain the most active in terms of small, medium and block trades. This result is also consistent with the finding of Nguyen et al , who found that the ECN mean trade size within the ETF market is small, and that large trades usually occur in traditional markets such as the NASDAQ, AMEX and NYSE.…”

Section: Data Descriptionsupporting

confidence: 92%

“…See for example Tse and Erenburg , Tse and Hackard , Hendershott and Jones , , Ates and Wang , Tse et al , Nguyen, Van Ness, and Van Ness and Bandyopadhyay, Martinez, and Tse .…”

mentioning

confidence: 99%

“…See for exampleTse and Erenburg (2003),Tse and Hackard (2004), Jones (2005a, 2005b),Ates and Wang (2005),Tse et al (2006),Nguyen, Van Ness, and Van Ness (2007) andBandyopadhyay, Martinez, and Tse (2009).9 An UTP is a right provided by the Securities Exchange Act of 1934 which permits securities listed on any national securities exchange to be traded by other such exchanges.…”

mentioning

confidence: 99%

See 2 more Smart Citations

Has the introduction of S&P 500 ETF options led to improvements in price discovery of SPDRs?

Chen

Chung

2011

Journal of Futures Markets

View full text Add to dashboard Cite

This study sets out to investigate trading in Standard and Poor's Depository Receipt Trust Series I (SPDR) options and the impact on the price‐discovery process of SPDRs. The empirical results reveal a significant rise in liquidity within the SPDR market following the introduction of SPDR options. Furthermore, the results also show that the introduction of SPDR options has led to a significant improvement in the information share of SPDRs, and that the contribution of SPDRs to price discovery has become very close to that of E‐mini index futures. These findings imply that developments in the derivatives market can lead to improvements in market quality, including the level of liquidity and price discovery of the underlying securities. © 2011 Wiley Periodicals, Inc. Jrl Fut Mark 32:683–711, 2012

show abstract

Section: Data Descriptionsupporting

confidence: 92%

“…See for example Tse and Erenburg , Tse and Hackard , Hendershott and Jones , , Ates and Wang , Tse et al , Nguyen, Van Ness, and Van Ness and Bandyopadhyay, Martinez, and Tse .…”

mentioning

confidence: 99%

mentioning

confidence: 99%

See 1 more Smart Citation

Has the introduction of S&P 500 ETF options led to improvements in price discovery of SPDRs?

Chen

Chung

2011

Journal of Futures Markets

View full text Add to dashboard Cite

show abstract

“…From the study, all the six hypothesized relationships were confirmed and the study provided hospitality SME managers with different factors that could facilitate open innovation adoption.In terms of the relative importance of the independent variables to open innovation adoption, past empirical studies have shown that competition has a strong relationship with open innovation adoption (β = 0.772, tvalue =11.301, ρ < 0.000). The finding is consistent with previous studies byNguyen et al (2007) who argues that a significant factor for a firm's innovation adoption is the outside cooperation effect of firms with competitors. Similarly, the result confirms the findings ofNickell (1996) andBlundell et al (1999) who found a positive linear effect of competition on innovation.…”

supporting

confidence: 93%

Adoption of open innovation: Evidence from SMEs in the Ghanaian Hospitality Industry

Tian

Kankam

Appiah-Twum

et al. 2019

int.jour.sci.res.mana.

View full text Add to dashboard Cite

The objective of the study was to analyze the determinants of open innovation adoption among the Ghanaian hospitality SMEs. A cross-sectional survey using a 5-point Likert scale questionnaire was used to randomly collect data from 530 managers within the hospitality industry in Ghana. Using SmartPLS software 3.2.8 to analyze primary data, the results show that all the six determining factors have significant impact on open innovation adoption in the hospitality industry. Specifically, competition, human skills, managerial style and IT infrastructure have positive and significant relationship with open innovation adoption. However, cost and cultural factors had negative but significant influence on open innovation adoption. The study also provides managers with practical ways of adopting open innovation in the Ghanaian hospitality industry.

show abstract

“…Since 1 December 2004, the official closing price of the QQQQ occurs at 16:00. Nguyen et al (2006) discuss the distribution of trading of ETFs across exchanges and Broom et al (2007) discuss the importance of primary exchange to the location of QQQQ trading activity.…”

Section: Methodsmentioning

confidence: 99%

Returns in trading versus non-trading hours: The difference is day and night

Kelly

Clark²

2011

J Asset Manag

View full text Add to dashboard Cite

Market efficiency implies that the risk-adjusted returns from holding stocks during regular trading hours should be indistinguishable from the risk-adjusted returns from holding stocks outside those hours. We find evidence to the contrary. We use broad-based index exchange-traded funds for our analysis and the Sharpe ratio to compare returns. The magnitude of this effect is startling. For example, the geometric average close-to-open (CO) risk premium (return minus the risk-free rate) of the QQQQ from 1999-2006 was þ 23.7 per cent whereas the average open-to-close risk premium was À23.3 per cent with lower volatility for the CO risk premium. This result has broad implications for when investors should buy and sell broadly diversified portfolios.

show abstract

Inter-market competition for exchange traded funds

Cited by 9 publications

References 35 publications

Has the introduction of S&P 500 ETF options led to improvements in price discovery of SPDRs?

Has the introduction of S&P 500 ETF options led to improvements in price discovery of SPDRs?

Adoption of open innovation: Evidence from SMEs in the Ghanaian Hospitality Industry

Returns in trading versus non-trading hours: The difference is day and night

Contact Info

Product

Resources

About