Significant returns were associated with the annual reconstitution of the Russell equity
indexes from 1996 through 2002, which can be explained by both transitory price pressure …

Knowledge of market microstructure—how investors' latent or hidden demands are
ultimately translated into prices and volumes—has grown explosively in recent years. This …

We develop a framework for assessing security market quality (MQ), relating five elements of
market design to three metrics of market integrity and two metrics of market efficiency. We …

Over the last few years, transaction cost analysis has been one of the biggest areas of
investment for both the buy and sell side of the equity industry. This increased focus has led …

This study provides an empirical analysis of several intraday liquidity dynamics for stocks
listed on the Amman Stock Exchange (ASE) using transaction data for the period from 1st …

Closing Price Study Page 1 The Hidden Costs of Index Rebalancing: A Case Study of the S&P
500 Composition Changes of July 19, 2002 Ananth Madhavan Kewei Ming Current Version …

In this paper, we examine whether the creation or redemption ETF shares has a measurable
and significant effect on the underlying stocks' returns in the closing auction. Our findings …

We document significant abnormal returns associated with the annual reconstitution of the
popular Russell equity indexes from 1996-2001. The cross-sectional variation in abnormal …

Substantial transaction costs are incurred in exchange-traded fund (ETF) trading each year.
This article examines a vector autoregressive (VAR) model's performance and other trading …

In this paper, we investigate the most efficient technical indicator of the top five selected
indicators of investing in financial markets. The indicators are based on a trend on the entire …