Abstract
We show that highly liquid Exchange-Traded Funds (ETFs), especially those that are more liquid than their underlying securities, are particularly attractive to short-term investors. We find that liquidity is an important determinant of weekly and monthly net fund flows, but not quarterly net flows, suggesting that liquidity is important for short-term trading. We further document a liquidity clientele amongst institutional investors: i) their buys and sells are positively related to ETF liquidity; ii) liquidity is significantly more important for short- than for long-term investors; and iii) liquidity is inversely related to the fund’s average holding period.
Sign-in/Register to access full text options 
Free) 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a call
