Predicting ETF liquidity

IF 2 4区管理学 Q3 BUSINESS

Australian Journal of Management Pub Date : 2023-01-10 DOI:10.1177/03128962221143494

Son D Pham, Ben R Marshall, Nhut H Nguyen, Nuttawat Visaltanachoti

引用次数: 0

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

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预测ETF流动性

每年在交易所交易基金(ETF)交易中产生大量的交易成本。本文研究了向量自回归(VAR)模型的表现和其他交易时间表在2011-2017年期间1350只etf的大样本中的交易时间。我们反对为所有ETF交易者最大化点差储蓄的一刀切交易时间表的概念。想要拆分订单的ETF交易者可以节省7.40%的ETF点差成本，而对于没有拆分交易动机的ETF交易者来说，在市场收盘时间进行交易将是最佳选择。ETF交易者的价差储蓄因ETF行业不同而不同，并取决于价差波动率。JEL分类:G11, G23

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Australian Journal of Management Multiple-

CiteScore

10.60

自引率

4.20%

发文量

期刊介绍： The objectives of the Australian Journal of Management are to encourage and publish research in the field of management. The terms management and research are both broadly defined. The former includes the management of firms, groups, industries, regulatory bodies, government, and other institutions. The latter encompasses both discipline- and problem-based research. Consistent with the policy, the Australian Journal of Management publishes research in accounting, applied economics, finance, industrial relations, political science, psychology, statistics, and other disciplines, provided the application is to management, as well as research in areas such as marketing, corporate strategy, operations management, organisation development, decision analysis, and other problem-focuses paradigms.