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...

This paper provides novel evidence of information asymmetry in Exchange-Traded Fund (ETF) markets, focusing on the informativeness of ETF flows. By decomposing daily ETF flows into three components, we find that certain ETF shares are created or redeemed in anticipation of forthcoming news,...

This study finds that both contemporaneous and lagged ETF trading volumes in both absolute and relative terms are significant contributors to the price efficiency of the underlying index. The creation/redemption of ETF shares is also positively associated with the index efficiency but it weakens...

This study investigates the relationship between the volatility of stock market indexes and the trading volumes of their Exchange Traded Funds (ETFs). Using both OLS and GARCH approaches we demonstrate that the contemporaneous trading volume of S&P 500 ETFs is a key determinant of S&P 500...