Applying a recently developed approach, the paper estimates the daily arrival rates of buy and sell orders originated from different trading motives for each stock in a sample of NYSE-listed companies. Based on these arrival rates, it shows that stock return tends to continue on consecutive days...

This paper examines the correlations between two types of an index's volatility and three trading motives of the underlying index's ETFs. We find that ETF trading driven by belief dispersion is highly correlated with both the Variance in Efficient Price Innovations (VEPI) and the index's total...