Predicting ETF liquidity-Reference-Cited by-同舟云学术

Predicting ETF liquidity

Published:2023-01-10 Issue: Volume: Page:031289622211434
ISSN:0312-8962
Container-title:Australian Journal of Management
language:en
Short-container-title:Australian Journal of Management

Author:

Pham Son D,Marshall Ben R¹,Nguyen Nhut H²,Visaltanachoti Nuttawat³^ORCID

Affiliation:

1. Massey University, Auckland, New Zealand

2. Auckland University of Technology, Auckland, New Zealand

3. School of Economics and Finance, Massey University, Auckland, New Zealand

Abstract

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 schedules to time trades in a large sample of 1350 ETFs over the 2011–2017 period. We reject the notion of a one-size-fits-all trading schedule that maximizes spread savings for all ETF traders. ETF traders who want to split their orders could save 7.40% of ETF spread costs, whereas trading at the market closing time would be optimal for ETF traders without motives to split trades. The spread savings for ETF traders are diverse across ETF sectors and depend on the spread volatility. JEL Classification: G11, G23

Publisher

SAGE Publications

Subject

General Business, Management and Accounting

Link

http://journals.sagepub.com/doi/pdf/10.1177/03128962221143494

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