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...

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...