The heterogeneous volume-volatility relations in the exchange-traded fund market: Evidence from China

被引：9
作者：
Xu, Liao [1 ,2 ]
Gao, Han [3 ]
Shi, Yukun [4 ]
Zhao, Yang [5 ]
机构：
[1] Zhejiang Gongshang Univ, Int Business Sch, Hangzhou, Peoples R China
[2] Zhejiang Gongshang Univ, Sch Finance, Hangzhou, Peoples R China
[3] East China Univ Polit Sci & Law, Business Sch, Shanghai, Peoples R China
[4] Univ Glasgow, Adam Smith Business Sch, Glasgow, Lanark, Scotland
[5] Cent Univ Finance & Econ, Chinese Acad Finance & Dev, Beijing, Peoples R China
来源：
ECONOMIC MODELLING | 2020年 / 85卷
基金：
中国国家自然科学基金;
关键词：
Disagreement among investors; Exchange-traded funds; Liquidity trades; Market volatility; Private information; Trading volume; TIME-SERIES; REALIZED VOLATILITY; RETURN VOLATILITY; INFORMATION-FLOW; TRADING VOLUME; CROSS-SECTION; STOCK-MARKET; MODEL; HYPOTHESIS; LIQUIDITY;
D O I：
10.1016/j.econmod.2019.11.019
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
We decompose the trading volume of exchange-traded funds (ETFs) into specific components according to different triggers of trades: (i) private information, (ii) disagreement among investors due to their different opinions on public information or having different information, and (iii) investor impatience. Then we examine the particular impact of each type of ETF trade on the market volatility of the tracked index. Focusing on the three ETFs tracking the CSI 300, we show that ETF trades stemming from investor disagreement are a key determinant of CSI 300 volatility, dominating other factors considered. Liquidity ETF trades can partially explain CSI 300 volatility. However, little evidence supports a significant correlation between privately informed trades of ETFs and CSI 300 volatility.
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页码：400 / 408
页数：9
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