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Index arbitrage as cross‐sectional market making

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  • Craig W. Holden

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  • Craig W. Holden, 1995. "Index arbitrage as cross‐sectional market making," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 15(4), pages 423-455, June.
    • Handle: RePEc:wly:jfutmk:v:15:y:1995:i:4:p:423-455
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    Cited by:

    1. Shinhua Liu, 2016. "Are SPDR Options Good for the Underlying Stocks?," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 6(04), pages 1-27, December.
    2. Thierry Foucault & Roman Kozhan & Wing Wah Tham, 2017. "Toxic Arbitrage," The Review of Financial Studies, Society for Financial Studies, vol. 30(4), pages 1053-1094.
    3. A. Tolga Ergun, 2009. "NYSE Rule 80A restrictions on index arbitrage and market linkage," Applied Financial Economics, Taylor & Francis Journals, vol. 19(20), pages 1675-1685.
    4. Zigrand, Jean-Pierre, 1999. "Arbitrage and endogenous market integration," LSE Research Online Documents on Economics 119127, London School of Economics and Political Science, LSE Library.
    5. Saæglam, Mehmet & Tuzun, Tugkan & Wermers, Russ, 2021. "Do ETFs increase liquidity?," CFR Working Papers 21-03, University of Cologne, Centre for Financial Research (CFR).
    6. Stoyan V. Stoyanov & Yong Shin Kim & Svetlozar T. Rachev & Frank J. Fabozzi, 2017. "Option pricing for Informed Traders," Papers 1711.09445, arXiv.org.
    7. repec:cte:imrepe:id-15-01 is not listed on IDEAS
    8. Prabhdeep Kaur & Jaspal Singh, 2021. "Impact of ETF Listing on the Returns Generated by Underlying Stocks: Indian Evidence," Management and Labour Studies, XLRI Jamshedpur, School of Business Management & Human Resources, vol. 46(3), pages 263-288, August.
    9. Pascal Alphonse, 2007. "Mispricing Persistence and the Effectiveness of Arbitrage Trading," Multinational Finance Journal, Multinational Finance Journal, vol. 11(1-2), pages 123-156, March-Jun.
    10. Hegde, Shantaram P. & McDermott, John B., 2004. "The market liquidity of DIAMONDS, Q's, and their underlying stocks," Journal of Banking & Finance, Elsevier, vol. 28(5), pages 1043-1067, May.
    11. Jean-Pierre Zigrand, 1999. "Arbitrage and Endogenous Market Integration," FMG Discussion Papers dp319, Financial Markets Group.
    12. Roman Kozhan & Wing Wah Tham, 2012. "Execution Risk in High-Frequency Arbitrage," Management Science, INFORMS, vol. 58(11), pages 2131-2149, November.
    13. Jean-Pierre Zigrand, 2001. "Rational Limits to Arbitrage," FMG Discussion Papers dp392, Financial Markets Group.
    14. Rösch, Dominik, 2021. "The impact of arbitrage on market liquidity," Journal of Financial Economics, Elsevier, vol. 142(1), pages 195-213.
    15. Chin‐Ho Chen & Junmao Chiu & Huimin Chung, 2020. "Arbitrage opportunities, liquidity provision, and trader types in an index option market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(3), pages 279-307, March.
    16. Fardeau, Vincent, 2023. "Sequential entry in illiquid markets," Journal of Financial Markets, Elsevier, vol. 64(C).

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