An empirical study on the relationship between price discovery of ETFs and trading volume: Focused on ETFs of KOSPI200 in Korea

Abstract

This paper is an empirical study on the price discovery function of ETFs and the relationship between that function and trading volume. For the purpose of this research, we used the VECM(vector error correction model) and Hasbrouck measure. The main findings are as follows. First, KODEX200 plays a more dominant role in price discovery than the KOSPI200 index. Second, the price discovery function of ETFs is affected by their trading volume. ? 2014 International Information Institute.