THE DYNAMICS OF SHORT-TERM ETF FLOWS AND RETURNS ON PRECIOUS METALS ETFs
DOI:
https://doi.org/10.19251/ne/2022.35(12)Keywords:
Exchange Traded Funds, ETF, precious metals, passive investmentAbstract
Purpose - Four alternative hypotheses are tested, including the price pressure hypothesis, information hypothesis, feedback trading hypothesis, and smoothing hypothesis.
Research method - A Vector Autoregressive (VAR) model is used to analyse the relationships between each flows and returns.
Results - As the limitation of the presented empirical research it should be pointed: all the hypotheses were not confirmed, but it was expected.
Originality /value / implications /recommendations - There is a space for further research: during COVID-19 crisis, with expected and unexpected flows, in the overview with others ETF.
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