@article {Nadler31, author = {Daniel Nadler and Anatoly (Alec) Schmidt}, title = {Impact of Macroeconomic Announcements on ETF Trading Volumes}, volume = {10}, number = {3}, pages = {31--35}, year = {2015}, doi = {10.3905/jot.2015.10.3.031}, publisher = {Institutional Investor Journals Umbrella}, 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{\textendash}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}, issn = {1559-3967}, URL = {https://jot.pm-research.com/content/10/3/31}, eprint = {https://jot.pm-research.com/content/10/3/31.full.pdf}, journal = {The Journal of Trading (Retired)} }