The effects of investor attention and policy uncertainties on cross-border country exchange-traded fund returns

Chien-Chiang Lee () and Mei-Ping Chen ()

International Review of Economics & Finance, 2021, vol. 71, issue C, 830-852

Abstract: Using a new panel quantile regression approach, this research explores how investor attention and policy uncertainties affect conditional return distributions for 126 cross-border U.S. trading single-country exchange traded funds (ETFs). We find that economic, fiscal, and monetary policy uncertainties negatively impact most of the ETF return quantiles, implying that a non-linear relationship exists, but trade policy uncertainty has asymmetric impacts on current returns that are salient positive in the following period. Therefore, considering four policy uncertainties allows us to completely analyze a single-country ETF market, thus providing valuable insights for ETF portfolio investors, hedge trading, and policymakers.

Keywords: Exchange-traded funds (ETFs); Investor attention; Policy uncertainties; Google search value index; Panel quantile regression (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (7)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:reveco:v:71:y:2021:i:c:p:830-852

DOI: 10.1016/j.iref.2020.10.015

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