Abstract
The authors examine the impact of major macroeconomic announcements on the daily trading volumes of several U.S. exchange-traded funds for the period of January 2004–April 2014. An ARIMA model with external factors that describe the announcement events is used. They find that several macroeconomic announcements, particularly the ISM Manufacturing Reports, Non-Farm Payrolls, Housing Starts, and to a lesser extent, Jobless Claims, Leading Indicators, and CPI significantly increase daily trading volumes.
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