Repository logo
 

Predicting ETF Liquidity

Simple item page
aut.relation.endpage508
aut.relation.issue3
aut.relation.journalAustralian Journal of Management
aut.relation.startpage478
aut.relation.volume49
dc.contributor.authorPham, Son D
dc.contributor.authorMarshall, Ben R
dc.contributor.authorNguyen, Nhut H
dc.contributor.authorVisaltanachoti, Nuttawat
dc.date.accessioned2026-02-12T21:25:55Z
dc.date.available2026-02-12T21:25:55Z
dc.date.issued2023-01-10
dc.description.abstractSubstantial 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.
dc.identifier.citationAustralian Journal of Management, ISSN: 0312-8962 (Print); 1327-2020 (Online), SAGE Publications, 49(3), 478-508. doi: 10.1177/03128962221143494
dc.identifier.doi10.1177/03128962221143494
dc.identifier.issn0312-8962
dc.identifier.issn1327-2020
dc.identifier.urihttp://hdl.handle.net/10292/20630
dc.languageen
dc.publisherSAGE Publications
dc.relation.urihttps://journals.sagepub.com/doi/10.1177/03128962221143494
dc.rightsThis is the Author's Accepted Manuscript version of an article published in the Australian Journal of Management by Sage Publishing © The Author(s) 2023, the Version of Record available at DOI: 10.1177/03128962221143494
dc.rights.accessrightsOpenAccess
dc.subject3502 Banking, Finance and Investment
dc.subject35 Commerce, Management, Tourism and Services
dc.subject15 Commerce, Management, Tourism and Services
dc.subjectBid-ask spread
dc.subjectdiversification
dc.subjectETFs
dc.subjectforecasting
dc.subjectliquidity
dc.subjectportfolio liquidity
dc.titlePredicting ETF Liquidity
dc.typeJournal Article
pubs.elements-id490657

Files

Original bundle

Now showing 1 - 2 of 2
Thumbnail Image
Name:
pham-et-al-2023-predicting-etf-liquidity.pdf
Size:
490.22 KB
Format:
Adobe Portable Document Format
Description:
Author's Accepted Manuscript
Download
Thumbnail Image
Name:
ssrn_id3924667_code2100007.pdf
Size:
710.11 KB
Format:
Adobe Portable Document Format
Description:
Preprint
Download

License bundle

Now showing 1 - 1 of 1
Thumbnail Image
Name:
license.txt
Size:
1.37 KB
Format:
Plain Text
Description:
Download

Collections

The Business School - Te Kura Kaipakihi