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Volume-return relationship in ETF markets: A reexamination of the costly short-sale hypothesis

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This study aims to investigate whether the costly short-sale theory is responsible for the volume-return relationship in Taiwan’s ETF market. Through a model specification, we demonstrate that trading volume and returns for ETFs and their underlying assets exhibit an asymmetric relationship with significantly larger volume associated with negative returns than with non-negative returns, a finding that verifies the prediction of the costly short-sale hypothesis. Using quantile regression, we also find that the magnitudes of the volume-return correlations and subsequent asymmetric effects vary with the ETF volume levels. The asymmetric effects are more obvious at the volume quantiles that are higher than the median level and at the extrema quantiles. | Volume-return relationship in ETF markets: A reexamination of the costly short-sale hypothesis