Analysis of the factors impacting ETFs net fund flow changes (2016)
Author(s):
Stoyu I. Ivanov (Department
of Accounting and Finance, San Jose State University, San Jose,
California,USA)
Abstract:
Purpose
The purpose of this study is to identify the factors that impact
the exchange-traded funds net fund flow changes on a daily basis.
Design/methodology/approach
A total of 1,212 different exchange-traded funds with a
proprietary daily net fund flow data and logistic regressions were studied
because the majority of the 1,212 exchange-traded funds have mostly zero daily
net fund flow changes.
Findings
It was documented that in the period December 22, 2005 to July
28, 2010 autocorrelation at the daily frequency is not universally present for
the 1,212 exchange-traded funds that we study, despite the fact that this is
the case in the monthly data documented in prior studies. No support was found
for the feedback trading hypothesis but some support was found for the
contrarian investor hypothesis on daily basis, even though the opposite is
ascertained for both in the prior literature monthly data. Also, it cannot be
concluded that tracking error prompts net fund flow changes and thus arbitrage
activity.
Originality/value
The paper contributes to the ongoing analysis of the factors
influencing investment companies fund flow changes, which has mostly focused on
open-end funds and monthly data so far. Considering the increased scope and
relevance of exchange-traded funds in today’s financial markets, this study
fills a void in the fund flow changes literature.
Keywords:
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