1. High-frequency liquidity in the Chinese stock market: Measurements, patterns, and determinants. (2025). Zhang, Ruixun ; Dai, Yuehao ; Zhao, Chaoyi ; Wu, Lan ; Chen, Ermo.
   In: Pacific-Basin Finance Journal.
   RePEc:eee:pacfin:v:90:y:2025:i:c:s0927538x25000186.

   Full description at Econpapers || Download paper

2. Comovement and S&P 500 membership. (2025). Decoste, Joseph.
   In: Global Finance Journal.
   RePEc:eee:glofin:v:65:y:2025:i:c:s1044028325000377.

   Full description at Econpapers || Download paper

3. A study of green European equity fund portfolio allocations.. (2024). Sanctuary, Mark ; Plue, Jan ; Parlato, Giorgio ; Crona, Beatrice ; Lavenius, Axel.
   In: Working Paper Series in Economics and Institutions of Innovation.
   RePEc:hhs:cesisp:0499.

   Full description at Econpapers || Download paper

1. Admati, A. ; Pfleiderer, P. Sunshine trading and financial market equilibrium. 1991 Rev. Financ. Stud.. -

2. Almgren, R. ; Chriss, N. Optimal execution of portfolio transactions. 2001 J. Risk. -
   Paper not yet in RePEc: Add citation now
   

3. An, Y. ; Benetton, M. ; Song, Y. Index providers: Whales behind the scenes of ETFs. 2023 J. Financ. Econ.. -

4. Appel, I. ; Gormley, T. ; Keim, D. Identification using Russell 1000/2000 index assignments: A discussion of methodologies. 2020 Crit. Finance Rev.. -
   Paper not yet in RePEc: Add citation now
   

5. Appel, I. ; Gormley, T. ; Keim, D. Passive investors, not passive owners. 2016 J. Financ. Econ.. -

6. Azar, J. ; Schmalz, M. ; Tecu, I. Anticompetitive effects of common ownership. 2018 J. Finance. -

7. Baker, M. ; Bradley, B. ; Wurgler, J. Benchmarks as limits to arbitrage: Understanding the low-volatility anomaly. 2011 Financ. Anal. J.. -

8. Barberis, N. ; Shleifer, A. ; Wurgler, J. Comovement. 2005 J. Financ. Econ.. -
   Paper not yet in RePEc: Add citation now
   
9. Baruch, S. ; Zhang, X. The distortion in prices due to passive investing. 2021 Manage. Sci.. -
   Paper not yet in RePEc: Add citation now
   

10. Bebchuk, L. ; Cohen, A. ; Hirst, S. The agency problems of institutional investors. 2017 J. Econ. Perspect.. -

11. Ben-David, I. ; Franzoni, F. ; Moussawi, R. Do ETFs increase volatility?. 2018 J. Finance. -

12. Beneish, M. ; Whaley, R. An anatomy of the “S&P Game”: The effects of changing the rules. 1996 J. Finance. -
    Paper not yet in RePEc: Add citation now
    
13. Bennett, B. ; Stulz, R. ; Wang, Z. Does joining the S&P 500 index hurt firms?. 2024 :
    Paper not yet in RePEc: Add citation now
    

14. Bertsimas, D. ; Lo, A. Optimal control of execution costs. 1998 J. Financial Mark.. -

15. Bessembinder, H. ; Carrion, A. ; Tuttle, L. ; Venkataraman, K. Liquidity, resiliency and market quality around predictable trades: Theory and evidence. 2016 J. Financ. Econ.. -

16. Bogousslavsky, V. ; Muravyev, D. Who trades at the close? Implications for price discovery and liquidity. 2023 J. Financial Mark.. -

17. Bond, P. ; García, D. The equilibrium consequences of indexing. 2022 Rev. Financ. Stud.. -

18. Brogaard, J. ; Ringgenberg, M. ; Sovich, D. The economic impact of index investing. 2019 Rev. Financ. Stud.. -

19. Buffa, A. ; Vayanos, D. ; Woolley, P. Asset management contracts and equilibrium prices. 2022 J. Polit. Econ.. -

20. Burnham, T. ; Gakidis, H. ; Wurgler, J. Investing in the presence of massive flows: The case of MSCI country reclassifications. 2018 Financ. Anal. J.. -

21. Buss, A. ; Sundaresan, S. More risk, more information: How passive ownership can improve informational efficiency. 2023 Rev. Financ. Stud.. -

22. Chang, Y.-C. ; Hong, H. ; Liskovich, I. Regression discontinuity and the price effects of stock market indexing. 2015 Rev. Financ. Stud.. -

23. Chinco, A. ; Fos, V. The sound of many funds rebalancing. 2021 Rev. Asset Pric. Stud.. -

24. Coles, J. ; Heath, D. ; Ringgenberg, M. On index investing. 2022 J. Financ. Econ.. -
    Paper not yet in RePEc: Add citation now
    

25. Coval, J. ; Stafford, E. Asset fire sales (and purchases) in equity markets. 2007 J. Financ. Econ.. -

26. Cremers, M. ; Ferreira, M. ; Matos, P. ; Starks, L. Indexing and active fund management: International evidence. 2016 J. Financ. Econ.. -

27. Cremers, M. ; Petajisto, A. How active is your fund manager? A new measure that predicts performance. 2009 Rev. Financ. Stud.. -

28. Da, Z. ; Shive, S. Exchange traded funds and asset return correlations. 2018 Eur. Financial Manag.. -

29. Edmans, A. ; Holderness, C. Blockholders: A survey of theory and evidence. 2017 Handb. Econ. Corp. Gov.. -
    Paper not yet in RePEc: Add citation now
    
30. FTSE Russell, 2022. Russell US Equity Indices.
    Paper not yet in RePEc: Add citation now
    
31. Gabaix, X. ; Koijen, R. In search of the origins of financial fluctuations: The inelastic markets hypothesis. 2024 :
    Paper not yet in RePEc: Add citation now
    

32. Greenwood, R. Excess comovement of stock returns: Evidence from cross-sectional variation in Nikkei 225 weights. 2008 Rev. Financ. Stud.. -

33. Greenwood, R. ; Sammon, M. The disappearing index effect. 2024 J. Finance. -
    Paper not yet in RePEc: Add citation now
    

34. Grossman, S. ; Stiglitz, J. On the impossibility of informationally efficient markets. 1980 Am. Econ. Rev.. -

35. Haddad, V. ; Huebner, P. ; Loualiche, E. How competitive is the stock market? Theory, evidence, and implications. 2024 :
    Paper not yet in RePEc: Add citation now
    

36. Harris, L. ; Gurel, E. Price and volume effects associated with changes in the S&P 500: New evidence of price pressure. 1986 J. Finance. -

37. Heath, D. ; Macciocchi, D. ; Michaely, R. ; Ringgenberg, M. Do index funds monitor?. 2022 Rev. Financ. Stud.. -

38. Huang, S. ; O’Hara, M. ; Zhong, Z. Innovation and informed trading: Evidence from industry ETFs. 2021 Rev. Financ. Stud.. -

39. Investment Company Institute, 2022. Fact Book. Technical Report, link.
    Paper not yet in RePEc: Add citation now
    

40. Israeli, D. ; Lee, C. ; Sridharan, S. Is there a dark side to exchange traded funds? An information perspective. 2017 Rev. Account. Stud.. -

41. Koijen, R. ; Yogo, M. A demand-system approach to asset pricing. 2019 J. Polit. Econ.. -

42. Kyle, A. Continuous auctions and insider trading. 1985 Econometrica. -

43. Lee, J. Passive investing and price efficiency. 2024 :
    Paper not yet in RePEc: Add citation now
    

44. Lettau, M. ; Madhavan, A. Exchange-traded funds 101 for economists. 2018 J. Econ. Perspect.. -

45. Lewellen, J. ; Lewellen, K. Institutional investors and corporate governance: The incentive to be engaged. 2022 J. Finance. -

46. Lou, D. A flow-based explanation for return predictability. 2012 Rev. Financ. Stud.. -

47. Lyons, R. A simultaneous trade model of the foreign-exchange hot potato. 1997 J. Int. Econ.. -

48. Mackintosh, P., 2020. A Record Russell Recon is Coming. Technical Report, link.
    Paper not yet in RePEc: Add citation now
    

49. Madhavan, A. Exchange-Traded Funds and the New Dynamics of Investing. 2016 Oxford University Press:

50. Madhavan, A. The Russell reconstitution effect. 2003 Financ. Anal. J.. -

51. Madhavan, A. ; Ribando, J. ; Udevbulu, N. Demystifying index rebalancing: An analysis of the costs of liquidity provision. 2022 J. Portf. Manag.. -
    Paper not yet in RePEc: Add citation now
    
52. Mauboussin, M., Callahan, D., Majd, D., 2017. Looking for Easy Games: How Passive Investing Shapes Active Management. Credit Suisse Report.
    Paper not yet in RePEc: Add citation now
    
53. Nomura, 2022. Reconsidering the Recon: Insights from 15 years of Russell Rebalance Data. Technical Report, Client Communications.
    Paper not yet in RePEc: Add citation now
    
54. Novick, B., Cohen, S., Madhavan, A., Bunzel, T., Sethi, J., Matthews, S., 2017. Index Investing Supports Vibrant Capital Markets. Technical Report, BlackRock.
    Paper not yet in RePEc: Add citation now
    

55. Pavlova, A. ; Sikorskaya, T. Benchmarking intensity. 2023 Rev. Financ. Stud.. -

56. Petajisto, A. Active share and mutual fund performance. 2013 Financ. Anal. J.. -

57. Petajisto, A. The index premium and its hidden cost for index funds. 2011 J. Empir. Financ.. -

58. Robertson, A. Passive in name only: Delegated management and index investing. 2019 Yale J. Regul.. -
    Paper not yet in RePEc: Add citation now
    
59. S&P Dow Jones Indices, 2020a. Notice to authorized participants (APs). Technical Report, link.
    Paper not yet in RePEc: Add citation now
    
60. S&P Dow Jones Indices, 2020b. Tesla Added to the S&P 500. Technical Report, link.
    Paper not yet in RePEc: Add citation now
    
61. S&P Dow Jones Indices, 2022. S&P 500 Fact Sheet. Technical Report, link.
    Paper not yet in RePEc: Add citation now
    
62. Schmalz, M. ; Zame, W. Index funds, asset prices, and the welfare of investors. 2024 :
    Paper not yet in RePEc: Add citation now
    
63. Seyffart, J., 2023. Passive Index Ownership Levels. Technical Report, Bloomberg Intelligence.
    Paper not yet in RePEc: Add citation now
    

64. Shleifer, A. Do demand curves for stocks slope down?. 1986 J. Finance. -

65. Tuttle, L., 2013. Alternative Trading Systems: Description of ATS Trading in National Market System Stocks. Division of Economic and Risk Analysis.
    Paper not yet in RePEc: Add citation now
    
66. Wigglesworth, R. Trillions: How a Band of Wall Street Renegades Invented the Index Fund and Changed Finance Forever. 2021 Penguin:
    Paper not yet in RePEc: Add citation now
    
67. Wurgler, J. On the economic consequences of index-linked investing. 2011 En : Challenges to Business in the Twenty-First Century. :
    Paper not yet in RePEc: Add citation now
    

68. Wurgler, J. ; Zhuravskaya, E. Does arbitrage flatten demand curves for stocks?. 2002 J. Bus.. -

1. The Role of Pre-Opening Mechanisms in Fragmented Markets. (2018). Moinas, Sophie ; Boussetta, Selma ; Lescourret, Laurance.
   In: EconPol Working Paper.
   RePEc:ces:econwp:_12.

   Full description at Econpapers || Download paper

2. The components of the bid€ ask spread: Evidence from the corn futures market. (2018). Garcia, Philip ; Mallory, Mindy ; Shang, Quanbiao.
   In: Agricultural Economics.
   RePEc:bla:agecon:v:49:y:2018:i:3:p:381-393.

   Full description at Econpapers || Download paper

3. Dark pool trading strategies, market quality and welfare. (2017). Buti, Sabrina ; Werner, Ingrid M ; Rindi, Barbara.
   In: Journal of Financial Economics.
   RePEc:eee:jfinec:v:124:y:2017:i:2:p:244-265.

   Full description at Econpapers || Download paper

4. Liquidity, resiliency and market quality around predictable trades: Theory and evidence. (2016). Bessembinder, Hendrik ; Venkataraman, Kumar ; Carrion, Allen.
   In: Journal of Financial Economics.
   RePEc:eee:jfinec:v:121:y:2016:i:1:p:142-166.

   Full description at Econpapers || Download paper

5. The price impact of futures trades and their intraday seasonality. (2016). Webb, Robert I ; Han, Joongho ; Ryu, Doowon.
   In: Emerging Markets Review.
   RePEc:eee:ememar:v:26:y:2016:i:c:p:80-98.

   Full description at Econpapers || Download paper

6. Biased Shorts: Stock Market Implications of Short Sellers’ Disposition Effect. (2015). Massa, Massimo ; von Beschwitz, Bastian.
   In: CEPR Discussion Papers.
   RePEc:cpr:ceprdp:10535.

   Full description at Econpapers || Download paper

7. Order exposure and liquidity coordination: Does hidden liquidity harm price efficiency?. (2014). Horst, Ulrich ; Hautsch, Nikolaus ; Cebiroglu, Gokhan.
   In: CFS Working Paper Series.
   RePEc:zbw:cfswop:468.

   Full description at Econpapers || Download paper

8. Workup. (2014). Pancs, Romans.
   In: Review of Economic Design.
   RePEc:spr:reecde:v:18:y:2014:i:1:p:37-71.

   Full description at Econpapers || Download paper

9. Trading anonymity and order anticipation. (2014). Payne, Richard ; Friederich, Sylvain.
   In: Journal of Financial Markets.
   RePEc:eee:finmar:v:21:y:2014:i:c:p:1-24.

   Full description at Econpapers || Download paper

10. Market transparency, market quality, and sunshine trading. (2014). Manzano, Carolina ; de Frutos, angeles M..
    In: Journal of Financial Markets.
    RePEc:eee:finmar:v:17:y:2014:i:c:p:174-198.

    Full description at Econpapers || Download paper

11. Energy futures prices and commodity index investment: New evidence from firm-level position data. (2014). Irwin, Scott ; Sanders, Dwight R..
    In: Energy Economics.
    RePEc:eee:eneeco:v:46:y:2014:i:s1:p:s57-s68.

    Full description at Econpapers || Download paper

12. Market Liquidity€”Theory and Empirical Evidence *. (2013). Wang, Jiang ; Vayanos, Dimitri.
    In: Handbook of the Economics of Finance.
    RePEc:eee:finchp:2-b-1289-1361.

    Full description at Econpapers || Download paper

13. The effect of a closing call auction on market quality and trading strategies. (2012). Rindi, Barbara ; Kandel, Eugene ; Bosetti, Luisella.
    In: Journal of Financial Intermediation.
    RePEc:eee:jfinin:v:21:y:2012:i:1:p:23-49.

    Full description at Econpapers || Download paper

14. Order revelation at market openings. (2012). Chakraborty, Archishman ; Schwartz, Robert A. ; Pagano, Michael S..
    In: Journal of Financial Markets.
    RePEc:eee:finmar:v:15:y:2012:i:2:p:127-150.

    Full description at Econpapers || Download paper

15. The Impact of Dark and Visible Fragmentation on Market Quality (Replaces CentER Discussion Paper 2011-051). (2011). van Kervel, Vincent ; de Jong, Frank ; Degryse, Hans ; de Jong, F. C. J. M., .
    In: Discussion Paper.
    RePEc:tiu:tiucen:f9895511-3b4b-4db5-bf34-149eb315dc18.

    Full description at Econpapers || Download paper

16. The index premium and its hidden cost for index funds. (2011). Petajisto, Antti.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:18:y:2011:i:2:p:271-288.

    Full description at Econpapers || Download paper

17. Sunshine trading: Flashes of trading intent at the NASDAQ. (2011). Sojli, Elvira ; Skjeltorp, Johannes ; Tham, Wing Wah.
    In: Working Paper.
    RePEc:bno:worpap:2011_17.

    Full description at Econpapers || Download paper

18. Information provision in financial markets. (2010). Bennouri, Moez.
    In: Annals of Finance.
    RePEc:kap:annfin:v:6:y:2010:i:2:p:255-286.

    Full description at Econpapers || Download paper

19. Information provision in financial markets. (2010). Clark, Robert ; Bennouri, Moez ; Robert, Jacques.
    In: Post-Print.
    RePEc:hal:journl:hal-00565501.

    Full description at Econpapers || Download paper

20. Competition between financial markets in Europe: what can be expected from MiFID?. (2009). Degryse, Hans.
    In: Financial Markets and Portfolio Management.
    RePEc:kap:fmktpm:v:23:y:2009:i:1:p:93-103.

    Full description at Econpapers || Download paper

21. TRADER EXPLOITATION OF ORDER FLOW INFORMATION DURING THE LTCM CRISIS. (2009). Cai, Fang.
    In: Journal of Financial Research.
    RePEc:bla:jfnres:v:32:y:2009:i:3:p:261-284.

    Full description at Econpapers || Download paper

22. What determines transaction costs in foreign exchange markets?. (2008). Ramadorai, Tarun.
    In: International Journal of Finance & Economics.
    RePEc:ijf:ijfiec:v:13:y:2008:i:1:p:14-25.

    Full description at Econpapers || Download paper

23. Strategic noise traders and liquidity pressure with a physically deliverable futures contract. (2006). Capuano, Christian.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:15:y:2006:i:1:p:1-14.

    Full description at Econpapers || Download paper

24. The effects of insider trading on liquidity. (2006). Rui, Oliver ; Leung, T. Y. ; Firth, Michael ; Cheng, Louis.
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:14:y:2006:i:5:p:467-483.

    Full description at Econpapers || Download paper

25. An information-based trade off between foreign direct investment and foreign portfolio investment. (2006). Razin, Assaf ; Goldstein, Itay.
    In: Journal of International Economics.
    RePEc:eee:inecon:v:70:y:2006:i:1:p:271-295.

    Full description at Econpapers || Download paper

26. The Components of the Bid-Ask Spread: The case of the Athens Stock Exchange. (2006). Angelidis, Timotheos ; Benos, Alexandros.
    In: Working Papers.
    RePEc:crt:wpaper:0615.

    Full description at Econpapers || Download paper

27. Persistence, Performance and Prices in Foreign Exchange Markets. (2006). Ramadorai, Tarun.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:5861.

    Full description at Econpapers || Download paper

28. An Information-Based Trade Off between Foreign Direct Investment and Foreign Portfolio Investment. (2005). Razin, Assaf ; Goldstein, Itay.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:11757.

    Full description at Econpapers || Download paper

29. Foreign Direct Investment vs. Foreiegn Portfolio Investment. (2005). Razin, Assaf ; Goldstein, Itay.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:11047.

    Full description at Econpapers || Download paper

30. Informational asymmetries and a multiplier effect on price correlation and trading. (2005). Pinheiro, Marcelo.
    In: Annals of Finance.
    RePEc:kap:annfin:v:1:y:2005:i:4:p:395-421.

    Full description at Econpapers || Download paper

31. Large investors: implications for equilibrium asset, returns, shock absorption, and liquidity. (2005). Pritsker, Matthew.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2005-36.

    Full description at Econpapers || Download paper

32. Repurchasing Shares on a Second Trading Line. (2005). Perignon, Christophe ; Isakov, Dusan ; Chung, Dennis Y..
    In: FAME Research Paper Series.
    RePEc:fam:rpseri:rp162.

    Full description at Econpapers || Download paper

33. Economic News and the Impact of Trading on Bond Prices. (2004). Green, Clifton T..
    In: Journal of Finance.
    RePEc:bla:jfinan:v:59:y:2004:i:3:p:1201-1234.

    Full description at Econpapers || Download paper

34. An Information-Based Trade Off Between Foreign Direct Investment and Foreign Portfolio Investment: Volatility, Transparency, and Welfare. (2003). Razin, Assaf ; Goldstein, Itay.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:9426.

    Full description at Econpapers || Download paper

35. Was there front running during the LTCM crisis. (2003). Cai, Fang.
    In: International Finance Discussion Papers.
    RePEc:fip:fedgif:758.

    Full description at Econpapers || Download paper

36. An Information-Based Trade-off Between Foreign Direct Investment and Foreign Portfolio Investment: Volatility, Transparency and Welfare. (2003). Razin, Assaf ; Goldstein, Itay.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:3747.

    Full description at Econpapers || Download paper

37. The Traditional Brokers: What are their Chances in the Forex?. (2003). Albuquerque, Paula.
    In: Journal of Applied Economics.
    RePEc:cem:jaecon:v:6:y:2003:n:2:p:205-220.

    Full description at Econpapers || Download paper

38. Short-term investment and equilibrium multiplicity. (2002). Cespa, Giovanni.
    In: Economics Working Papers.
    RePEc:upf:upfgen:520.

    Full description at Econpapers || Download paper

39. The Effect of the Transparency of Order Flows in a Dealer Market with Several Securities. (2002). Manzano, Carolina.
    In: Journal of Financial Intermediation.
    RePEc:eee:jfinin:v:11:y:2002:i:2:p:212-227.

    Full description at Econpapers || Download paper

40. Intraday trade in dealership markets. (2002). Bernhardt, Dan ; Hughson, Eric.
    In: European Economic Review.
    RePEc:eee:eecrev:v:46:y:2002:i:9:p:1697-1732.

    Full description at Econpapers || Download paper

41. Short-term investment and equilibrium multiplicity. (2002). Cespa, Giovanni.
    In: European Economic Review.
    RePEc:eee:eecrev:v:46:y:2002:i:9:p:1645-1670.

    Full description at Econpapers || Download paper

42. The use of undisclosed limit orders on the Australian Stock Exchange. (2001). berkman, henk ; Aitken, Michael ; Mak, Derek.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:25:y:2001:i:8:p:1589-1603.

    Full description at Econpapers || Download paper

43. Knowing me, knowing you: : Trader anonymity and informed trading in parallel markets. (2001). Theissen, Erik ; Grammig, Joachim ; Schiereck, Dirk.
    In: Journal of Financial Markets.
    RePEc:eee:finmar:v:4:y:2001:i:4:p:385-412.

    Full description at Econpapers || Download paper

44. Indicating Ahead: Best Execution and the NASDAQ Preopening. (2000). Hatheway, Frank M. ; Ciccotello, Conrad S..
    In: Journal of Financial Intermediation.
    RePEc:eee:jfinin:v:9:y:2000:i:2:p:184-212.

    Full description at Econpapers || Download paper

45. Market microstructure: A survey. (2000). Madhavan, Ananth.
    In: Journal of Financial Markets.
    RePEc:eee:finmar:v:3:y:2000:i:3:p:205-258.

    Full description at Econpapers || Download paper

46. Trader Anonymity, Price Formation and Liquidity. (2000). THIESSEN, Eric.
    In: HEC Research Papers Series.
    RePEc:ebg:heccah:0701.

    Full description at Econpapers || Download paper

47. The no-arbitrage condition and financial markets with transaction costs and heterogeneous information: The bid-ask spread. (1999). Ardalan, Kavous.
    In: Global Finance Journal.
    RePEc:eee:glofin:v:10:y:1999:i:1:p:83-91.

    Full description at Econpapers || Download paper

48. Asymmetries of information in centralized order-driven markets. (1999). Calcagno, Riccardo ; Boccard, Nicolas.
    In: LIDAM Discussion Papers IRES.
    RePEc:ctl:louvir:1999016.

    Full description at Econpapers || Download paper

49. Integration versus segmentation in a dealer market. (1999). Manzano, Carolina.
    In: DEE - Working Papers. Business Economics. WB.
    RePEc:cte:wbrepe:6514.

    Full description at Econpapers || Download paper

50. Asymmetries of information in centralized order-driven markets. (1999). Boccard, Nicolas ; Calcagno, Riccardo.
    In: LIDAM Discussion Papers CORE.
    RePEc:cor:louvco:1999035.

    Full description at Econpapers || Download paper

Report date: 2025-09-21 07:55:55 || Missing content? Let us know