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Funds Flows and Returns: The Case of the Australian Equity ETFs

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  • Gerasimos G. Rompotis

    (Department of Economics, National and Kapodistrian University of Athens, Athens, Greece)

Abstract

The relation between fund flows and returns in the Australian ETF industry is assessed in this study. Daily data from 43 equity ETFs over the period 2019-2023 are used. The main research objective is to accentuate whether past returns can predict future fund flows and in what way and vice versa. According to the results of the applied regression analysis, past flows and past returns can predict to some extent concurrent flows. This is also the case about concurrent returns. However, in both cases, the results are not unanimous and depend on the specification of the applied regression model.

Suggested Citation

  • Gerasimos G. Rompotis, 2024. "Funds Flows and Returns: The Case of the Australian Equity ETFs," Financial Economics Letters, Anser Press, vol. 3(2), pages 26-39, June.
    • Handle: RePEc:bba:j00007:v:3:y:2024:i:2:p:26-39:d:340
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    References listed on IDEAS

    as
    1. Patel, Jayendu & Zeckhauser, Richard & Hendricks, Darryll, 1991. "The Rationality Struggle: Illustrations from Financial Markets," American Economic Review, American Economic Association, vol. 81(2), pages 232-236, May.
    2. S. Narend & M. Thenmozhi, 2016. "What drives fund flows to index ETFs and mutual funds? A panel analysis of funds in India," DECISION: Official Journal of the Indian Institute of Management Calcutta, Springer;Indian Institute of Management Calcutta, vol. 43(1), pages 17-30, March.
    3. repec:bla:jfinan:v:53:y:1998:i:5:p:1589-1622 is not listed on IDEAS
    4. Ben-Rephael, Azi & Kandel, Shmuel & Wohl, Avi, 2011. "The Price Pressure of Aggregate Mutual Fund Flows," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 46(2), pages 585-603, April.
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