This article examines how the inception of an ETF market impacts several dimensions of the liquidity of the ETF-underlying-index stocks. In contrast with previous research, our evidence is based on an ETF market where liquidity providers (LPs) act as market makers. We find that: (1) the market...

This article examines how the introduction of an ETF replicating a stock index impacts on the liquidity of the underlying stocks when the ETF market involves liquidity providers (LPs). We find that index stock spreads decline, relative to those of non-index stocks, after the introduction of the...

This article examines how the introduction of an ETF replicating a stock index impacts on the liquidity of the underlying stocks when the ETF market involves liquidity providers (LPs). We find that index stock spreads decline, relative to those of non-index stocks, after the introduction of the...

This article examines how the inception of an ETF market impacts several dimensions of the liquidity of the ETF-underlying-index stocks. In contrast with previous research, our evidence is based on an ETF market where liquidity providers (LPs) act as market makers. We find that: (1) the market...

The paper empirically investigates market makers' behavior on Nasdaq Europe. The impact of market makers' competition and some other microstructure effects on spreads are analyzed. We perform a decomposition of the spread into its components in both Huang amp; Stoll (1997) and Lin, Sanger amp;...

We measure the extent to which consolidated liquidity in modern fragmented equity markets overstates true liquidity due to a phenomenon that we call Ghost Liquidity (GL). GL exists when traders place duplicate limit orders on competing venues, intending for only one of the orders to execute, and...

Because IPO mechanisms determine both the initial trading price and the allocation of newly-listed firms' shares, they have financial and strategic consequences for shareholders. For that reason, it is of interest to analyse the relative advantages and disadvantages of the different procedures...

Based on a sample of 15 European countries, this survey analyses various features of the European IPO (Initial Public Offering) market over the period from 1995 to 2004: listing requirements, IPO-mechanism choices, performance and secondary market liquidity. First, the comparison of national...

This article compares the cost of trading large capitalisation equities on the hybrid order-driven segment of the London Stock Exchange and the centralised electronic order book of Euronext. Using samples of stocks matched according to economic sector, free float capitalisation, and trading...