ETFs in the morning? Traders take warning

March 07, 2021

Jim Rowley

Head of Investor Research Vanguard Investment Strategy Group

Only half true

¹ James J. Rowley Jr., Haifeng Wang, and Eric L. White II. “Examining Intraday Fixed Income ETF Liquidity: Is it more expensive near the open?” The Journal of Index Investing 11, no. 3 (Winter 2020): 21–33.© [2020] Pageant Media. Republished with permission of PMR (Portfolio Management Research) Journal of Index Investing. All rights reserved.  

² James J. Rowley Jr., Charles J. Thomas, and Ryan E. O'Hanlon. “Examining Intraday ETF Liquidity: When Should Investors Trade?” The Journal of Index Investing 9, no. 4 (Spring 2019): 6–17. 

Data to the millisecond
Average bid-ask spreads during the day for U.S. fixed income ETFs (First quarter 2020, in basis points)
Fixed income spreads across various categories
Fixed Income Spreads
Tips to improve trading value
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