PT - JOURNAL ARTICLE AU - Daniel Nadler AU - Anatoly (Alec) Schmidt TI - Impact of Macroeconomic Announcements on ETF Trading Volumes AID - 10.3905/jot.2015.10.3.031 DP - 2015 Jun 30 TA - The Journal of Trading PG - 31--35 VI - 10 IP - 3 4099 - https://pm-research.com/content/10/3/31.short 4100 - https://pm-research.com/content/10/3/31.full AB - 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.TOPICS: Exchange-traded funds and applications, exchanges/markets/clearinghouses