Purpose – The purpose of this paper is to examine the pre- and post-split behavior for trades and quotes of iShare exchange-traded funds (ETFs) that split in June 2005. The objective is to determine whether post-split changes in the bid-ask spread, trade turnover, average dollar-size trade,...

Stock split ex-dates are associated with both an increased intensity of small investor buying and a positive abnormal return. The broker promotion hypothesis suggests that the increase in relative spread after a split induces brokers to promote splitting stocks to small investors. The trading...

On September 23, 2002, facing a regulatory mandate issued by the Securities and Exchange Commission, Island teminated the position of the Nasdaq 100 Index Tracking Stock (QQQ) on its book. While the market volume remained almost the same, Island's market share in the QQQ fell significantly....

The May 20, 2003, announcement confirming diagnosis in a Canadian cow of mad cow disease caused price disturbances in livestock, grain, and stock markets. Price and time data are used to provide a clinical study on the timing, persistency, and rationality of those disturbances in different U.S....

On March 18, 2004, the London International Financial Futures and Options Exchange launched trading in Eurodollar futures contracts in an attempt to compete with a U.S. rival, the Chicago Mercantile Exchange. The Chicago Mercantile Exchange responded to the challenge by introducing several...

In this paper, the diversification benefits of using stock index futures are examined. Empirical evidence shows that traditional diversification in international equity markets does not produce a risk adjusted performance superior to the US market. An explanation for this result is that...

The question of why firms exercise stock splits has inspired research for some time. Signalling and optimal trading range hypotheses are possible explanations for stock splits. This paper considers the sociological aspects of maintaining a stable target-price habit. It argues that one of the...