| Reference: | Abad, D., Nieto, B., Pascual, R., & Rubio, G. (2023). Market-wide illiquidity and the distribution of non-parametric stochastic discount factors. International Review of Financial Analysis, 87, 102650.
Acharya, V. V., & Pedersen, L. H. (2005). Asset pricing with liquidity risk. Journal of financial Economics, 77(2), 375-410.
Amihud, Y. (2002). Illiquidity and stock returns: cross-section and time-series effects. Journal of financial markets, 5(1), 31-56.
Amihud, Y., Hameed, A., Kang, W., & Zhang, H. (2015). The illiquidity premium: International evidence. Journal of financial economics, 117(2), 350-368.
Andrews, I., Stock, J. H., & Sun, L. (2019). Weak instruments in instrumental variables regression: Theory and practice. Annual Review of Economics, 11(1), 727-753.
Angrist, J. D., & Pischke, J. S. (2009). Mostly harmless econometrics: An empiricist's companion. Princeton university press.
Apfel, N., & Windmeijer, F. (2022). The Falsification Adaptive Set in Linear Models with Instrumental Variables that Violate the Exclusion or Conditional Exogeneity Restriction. arXiv preprint arXiv:2212.04814.
Armstrong, T. B., & Kolesár, M. (2021). Supplement to ‘Sensitivity analysis using approximate moment condition models’. Quantitative Economics Supplemental Material, 12.
Bae, K., & Kim, D. (2020). Liquidity risk and exchange-traded fund returns, variances, and tracking errors. Journal of Financial Economics, 138(1), 222-253.
Barndorff-Nielsen, O. E., & Shephard, N. (2002). Econometric analysis of realized volatility and its use in estimating stochastic volatility models. Journal of the Royal Statistical Society Series B: Statistical Methodology, 64(2), 253-280.
Ben‐David, I., Franzoni, F., & Moussawi, R. (2018). Do ETFs increase volatility?. The Journal of Finance, 73(6), 2471-2535.
Berger, A. N., & Di Patti, E. B. (2006). Capital structure and firm performance: A new approach to testing agency theory and an application to the banking industry. Journal of Banking & Finance, 30(4), 1065-1102.
Bertrand, M., Duflo, E., & Mullainathan, S. (2004). How much should we trust differences-in-differences estimates?. The Quarterly journal of economics, 119(1), 249-275.
Bollerslev, T., Patton, A. J., & Quaedvlieg, R. (2020). Multivariate leverage effects and realized semicovariance GARCH models. Journal of Econometrics, 217(2), 411-430.
Bound, J., Jaeger, D. A., & Baker, R. M. (1995). Problems with instrumental variables estimation when the correlation between the instruments and the endogenous explanatory variable is weak. Journal of the American statistical association, 90(430), 443-450.
Callaway, B., & Sant’Anna, P. H. (2021). Difference-in-differences with multiple time periods. Journal of econometrics, 225(2), 200-230.
Campello, M. (2003). Capital structure and product markets interactions: evidence from business cycles. Journal of financial economics, 68(3), 353-378.
Chen, J., & Xu, L. (2023). Do exchange-traded fund activities destabilize the stock market? Evidence from the China securities index 300 stocks. Economic Modelling, 127, 106450.
Chen, N. F., Roll, R., & Ross, S. A. (1986). Economic forces and the stock market. Journal of business, 59(3), 383-403.
Chordia, T., Roll, R., & Subrahmanyam, A. (2001). Market liquidity and trading activity. The journal of finance, 56(2), 501-530.
Conley, T. G., Hansen, C. B., & Rossi, P. E. (2012). Plausibly exogenous. Review of Economics and Statistics, 94(1), 260-272.
Cont, R. (2007). Volatility clustering in financial markets: empirical facts and agent-based models. In Long memory in economics (pp. 289-309). Berlin, Heidelberg: Springer Berlin Heidelberg.
Da, Z., & Shive, S. (2018). Exchange traded funds and asset return correlations. European Financial Management, 24(1), 136-168.
Datar, V. T., Naik, N. Y., & Radcliffe, R. (1998). Liquidity and stock returns: An alternative test. Journal of financial markets, 1(2), 203-219.
Demsetz, H. (1968). The cost of transacting. The Quarterly Journal of Economics, 82(1), 33-53.
Durbin, J. (1954). Errors in variables. Revue de l'institut International de Statistique, 22(1/3), 23-32.
El Kalak, I., Hudson, R., & Tosun, O. K. (2024). Engaged ETFs and firm performance. European Financial Management, 30(3), 1708-1756.
Fama, E. F., & French, K. R. (2002). Testing trade-off and pecking order predictions about dividends and debt. Review of financial studies, 15(1), 1-33.
Florackis, C., Gregoriou, A., & Kostakis, A. (2011). Trading frequency and asset pricing on the London Stock Exchange: Evidence from a new price impact ratio. Journal of Banking & Finance, 35(12), 3335-3350.
Garman, M. B., & Klass, M. J. (1980). On the estimation of security price volatilities from historical data. Journal of Business,53(1), 67-78.
Glosten, L., Nallareddy, S., & Zou, Y. (2021). ETF activity and informational efficiency of underlying securities. Management Science, 67(1), 22-47.
Gompers, P., Ishii, J., & Metrick, A. (2003). Corporate governance and equity prices. The quarterly journal of economics, 118(1), 107-156.
Hamm, S. J. (2010). The effect of ETFs on stock liquidity (Doctoral dissertation, University of Pennsylvania).
Hansen, L. P. (1982). Large sample properties of generalized method of moments estimators. Econometrica: Journal of the econometric society, 50(4), 1029-1054.
Hausman, J. A. (1978). Specification tests in econometrics. Econometrica: Journal of the econometric society, 46(6), 1251-1271.
Humpe, A., & Macmillan, P. (2009). Can macroeconomic variables explain long-term stock market movements? A comparison of the US and Japan. Applied financial economics, 19(2), 111-119.
Israeli, D., Lee, C. M., & Sridharan, S. A. (2017). Is there a dark side to exchange traded funds? An information perspective. Review of Accounting Studies, 22, 1048-1083.
Krause, T., Ehsani, S., & Lien, D. (2014). Exchange-traded funds, liquidity and volatility. Applied Financial Economics, 24(24), 1617-1630.
Kyle, A. S. (1985). Continuous auctions and insider trading. Econometrica: Journal of the Econometric Society, 53(6), 1315-1335.
Lettau, M., & Ludvigson, S. (2001). Consumption, aggregate wealth, and expected stock returns. the Journal of Finance, 56(3), 815-849.
Liang, X. (2022). Methods for Selecting Valid Instrumental Variables (Doctoral dissertation, University of Bristol).
Madhavan, A., & Sobczyk, A. (2016). Price dynamics and liquidity of exchange-traded funds. Journal of Investment Management, 14(2), 1-17.
Parkinson, M. (1980). The extreme value method for estimating the variance of the rate of return. Journal of business, 53(1), 61-65.
Rakowski, D., & Yamani, E. (2021). Endogeneity in the mutual fund flow–performance relationship: An instrumental variables solution. Journal of Empirical Finance, 64, 247-271.
Rogers, L. C. G., & Satchell, S. E. (1991). Estimating variance from high, low and closing prices. The Annals of Applied Probability, 1(4), 504-512.
Rogers, L. C., Satchell, S. E., & Yoon, Y. (1994). Estimating the volatility of stock prices: a comparison of methods that use high and low prices. Applied Financial Economics, 4(3), 241-247.
Sargan, J. D. (1958). The estimation of economic relationships using instrumental variables. Econometrica: Journal of the econometric society, 26(3), 393-415.
Schwert, G. W. (1989). Why does stock market volatility change over time?. The journal of finance, 44(5), 1115-1153.
Staiger, D., & Stock, J. (1997). to Econometrica. Econometrica, 65(3), 557-586.
Wang, N., & Ma, Z. (2024). ETF ownership and stock liquidity: evidence from China. Asia-Pacific Journal of Accounting & Economics, 1-18.
Windmeijer, F., Liang, X., Hartwig, F. P., & Bowden, J. (2021). The confidence interval method for selecting valid instrumental variables. Journal of the Royal Statistical Society Series B: Statistical Methodology, 83(4), 752-776.
Wu, D. M. (1973). Alternative tests of independence between stochastic regressors and disturbances. Econometrica: journal of the Econometric Society, 41(4), 733-750. |
