This study examines whether Exchange Traded Funds' (ETF) arbitrage which ensures that the ETF closely tracks its underlying index exists on intradaily basis. I document that this arbitrage mechanism does exist and varies across ETFs. DIA and QQQQ have the most dynamic arbitrage activity; whereas...

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...