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,...

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....

In recent years there have been reports of excessive price volatility and value differences between prices of exchange traded funds (ETFs) and their underlying asset values. The objective of our study is to shed light on these facts by taking a closer look at the relationship between return...

This article investigates the international information transmission between the U.S. and Greek stock markets using daily data from the Athens Stock Exchange (ASE) and the S&P 500 Index returns. It employs a bivariate exponential GARCH-t (EGARCH-t) that allows for both mean and variance...