Social and Behavioral Sciences Commons^™

Analysis Of The Factors Impacting Etfs Net Fund Flow Changes, Stoyu Ivanov

Faculty Publications

PurposeThe 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/approachA 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.FindingsIt 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 …