I examine the effect of demand on stock prices by analyzing the conversion of the TIPs 35 and TIPs 100 exchange‐traded funds into the i60 Fund. This conversion occurred at the Toronto Stock Exchange on March 6, 2000. Forty stocks of the TIPs 100 Fund that were not members of the new units of the i60 Fund were sold to complete this conversion. I find that a decrease in demand produced a permanent stock price decline, which was accompanied by significant abnormal trading volume. The results provide support for the downward‐sloping demand curve hypothesis.
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Ernest N. Biktimirov (2004) studied this question.
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