Exchange Traded Fund Flows

32 Pages Posted: 7 Feb 2006

See all articles by Serdar Kalaycıoğlu

Serdar Kalaycıoğlu

Sanford C. Bernstein & Co LLC; Simon Graduate School of Business, University of Rochester

Date Written: February 28, 2004


I investigate the flow-return relationship in Exchange Traded Funds (ETFs). A variable for fund flows is defined using the change in shares outstanding, and the correlation and causality between ETF fund flows and returns is investigated at individual and aggregate levels. Significant negative correlation is documented between ETF flows and market returns, in monthly frequency. Investigating the nature of the association, I fail to reject the hypothesis of no-price-pressure on market returns originating from ETF flows. Higher frequency investigation of the relation indicates return chasing behavior in some ETFs, and is inconclusive in others.

Keywords: ETFs, Flow, Return

Suggested Citation

KALAYCIOGLU, Serdar, Exchange Traded Fund Flows (February 28, 2004). Available at SSRN: or

Serdar KALAYCIOGLU (Contact Author)

Sanford C. Bernstein & Co LLC ( email )

1345 Avenue of the Americas, 15th Floor
New York, NV 10105
United States

Simon Graduate School of Business, University of Rochester ( email )

Rochester, NY 14627
United States

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