We use data from the Oslo Stock Exchange. Our findings indicate that trading in ETFs is correlated with the return variance on a portfolio of the underlying index constituents. We also find correlation between ETF trading and the return variance on portfolios with non-constituents. The correlation between ETF trading and the return variance on the portfolio of the underlying index constituents is higher than for the other portfolios, but we cannot claim causality. We do not find similar effects from flows to index-linked mutual funds.

We examine price impacts from dividend flows. Event‐study estimates show that stocks experience abnormal returns on the dividend distribution day. Results also show a spillover effect to non‐dividend‐paying stocks that are likely to be part of the same benchmark portfolio as the dividend‐paying stocks. Regression results indicate that the effect is dependent on the ownership share by professional investors. The temporary nature of the effect on returns is in line with the literature's demand‐driven price pressure hypothesis.

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