THE FACTOR AFFECTING THE TRADE VOLUME OF EXCHANGE TRADED FUND (ETF)

Abstract

The research aimed to study the factor affecting the trade volume of Exchange Traded Fund (ETF). The secondary data were collected from January 2013 to December 2017, totally 60 months. The data type is called time-series data.

This research included five independent variables; the policy interest rate (INT), foreign exchange rate of Baht to US Dollar (EX), Thailand’s consumer price index (CPI), SET50 Index (SET50INDEX) and SET50 trade volume (SET50Volume). The multiple linear regression was theoretically applied as the economic method in this research to analyze the relationship between trade volume of Exchange Traded Fund (ETF) and all five independent variables mentioned above.

The empirical results showed that all independent variables had no effect towards a dependent variable at the significant level of 0.05 because the probability value is higher than 0.05. Therefore, the null hypothesis was accepted. The coefficient value was equal to zero as well as an adjusted R-squared was 0.0699, implying that the independent variables had a weak relationship with the dependent variable. This can be concluded that all five dependent variables, consisting of the policy interest rate (INT), foreign exchange rate of Baht to US Dollar (EX), Thailand’s consumer price index (CPI), Set50 Index (SET50INDEX) and SET50 trade volume (SET50Volume) had no significantly affect towards the trade volume of Exchange Traded Fund (ETF).