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Journal articles on the topic 'ETF funds'

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Published: 4 June 2021

Last updated: 1 February 2022

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1

Tarassov, Evgeni. "Exchange Traded Funds (ETF): history, mechanism, academic literature review and research perspectives." Journal of Corporate Finance Research / Корпоративные Финансы | ISSN: 2073-0438 10, no. 2 (2016): 89–108. http://dx.doi.org/10.17323/j.jcfr.2073-0438.10.2.2016.89-108.

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Evgeny Borisovich Tarasov - National Research University "Higher School of Economics".  E-mail: etarasov@hse.ru Prior to March of 2016, when the first exchange traded fund (ETF) on RTS was introduced, Russian investors’ only option for investing in the domestic index was through a mutual fund. By contrast, the majority world stock exchanges have been giving their clients the option to invest in their leading domestic indexes not only via index mutual funds but also via exchange traded funds (ETF) since decades. Their absence and therefore the lake of familiarity with these funds mi

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PETROVA, Elitsa. "A brief overview of the types of ETFs." Annals of "Spiru Haret". Economic Series 15, no. 3 (2015): 39. http://dx.doi.org/10.26458/1534.

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Exchange-traded fund is a type of exchange-traded product. ETF is a fund that is traded as a typical financial asset. Just like an index fund, ETF represents a basket of assets that reflect popular stock index. ETF traded just like any other company on the stock exchange. By owning ETF investor receives two important advantages – the diversification of index fund plus the flexibility of trading financial assets. There are different types of ETFs. Mainly divided into index, commodity, bond, currency, exchange-traded trusts and leveraged exchange-traded funds. The article discusses the basics of

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Afonso, António, and Pedro Cardoso. "Exchange-traded funds as an alternative investment option." Notas Económicas, no. 48 (June 14, 2019): 7–37. http://dx.doi.org/10.14195/2183-203x_48_1.

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We conduct an analysis of Exchange-traded Funds (ETFs), Index and Equity mutual funds and their respective benchmark during the 2010-2015 period for the Portuguese fund industry. For the period 2010-2017, we test ETFs for price inefficiency (existence of deviations between prices and the Net Asset Value) and persistence. We find that the studied ETF does not always outperform index funds in replicating the variations of the PSI 20 index, despite exhibiting better tracking ability when facing downside deviations of the benchmark and a better capacity of smoothing tracking deviations. Regarding

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Akhigbe, Aigbe, Bhanu Balasubramnian, and Melinda Newman. "Exchange Traded Funds and the likelihood of closure." American Journal of Business 35, no. 3/4 (2020): 105–27. http://dx.doi.org/10.1108/ajb-07-2019-0054.

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PurposeThough exchange-traded funds (ETFs) are similar to mutual funds, we identify several reasons how they are different based on their structure and trading characteristics. Therefore, we argue that the determinants of fund closure decisions for ETFs will not be the same as the mutual funds. We systematically explore those factors.Design/methodology/approachWe use Cox Proportional Hazard model, which is considered a superior method, over the logistic regression models. All previous studies are based on logistic regressions.FindingsWe investigate the closure rate of ETFs over the 1995–2018 s

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Shikhaleva, E. A., and N. S. Mrochkovskiy. "Investing into ETF – Exchange Investment Funds in Digital Economy." Vestnik of the Plekhanov Russian University of Economics, no. 4 (July 21, 2021): 46–51. http://dx.doi.org/10.21686/2413-2829-2021-4-46-51.

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The article explains the notion of exchange investment funds as a tool of investing on stock exchange in conditions of digital economy. It studies attainable today tools for investing into exchange investment funds, structure, working mechanism, as well as goals and objectives of investment funds as a separate tool for investment. The authors identify the key aims of investing into investment funds available on the exchange and the sequence of using this investment tool. They show opportunities and threats of investing into exchange investment funds for the investor and necessary analytical to

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Glambosky, Mina, Kimberly Gleason, Chun Lee, and Maryna Murdock. "The low fee entry strategy and first mover advantage in the ETF market." Investment Management and Financial Innovations 16, no. 2 (2019): 281–94. http://dx.doi.org/10.21511/imfi.16(2).2019.24.

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Academic literature struggles to explain investors’ attitude towards fees and expenses charged by mutual funds. In general, investors have been found to exhibit a puzzling lack of interest in this non-trivial component of their total return, raising questions of rationality of real-world investor behavior. An emergence of exchange-traded funds (ETFs), their rapid proliferation in the past decades and distinct features, such as more simple expense structure, present a valuable opportunity to contribute to the debate surrounding the pricing of funds. To better understand the expense policy/fund

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Kraiński, Karol. "INVESTMENT PLATFORMS EVOLUTIONS – ETF FUNDS." Copernican Journal of Finance & Accounting 6, no. 2 (2017): 23. http://dx.doi.org/10.12775/cjfa.2017.008.

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CHANG, CHIA-LIN, and YU-PEI KE. "TESTING PRICE PRESSURE, INFORMATION, FEEDBACK TRADING, AND SMOOTHING EFFECTS FOR ENERGY EXCHANGE TRADED FUNDS." Annals of Financial Economics 09, no. 02 (2014): 1440006. http://dx.doi.org/10.1142/s2010495214400065.

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This paper examines the relationships between flows and returns for five exchange traded funds (ETF) in the U.S. energy sector. Four alternative hypotheses are tested, including the price pressure hypothesis, information (or price release) hypothesis, feedback trading hypothesis, and smoothing hypothesis. The five ETF are the Energy Select Sector SPDR Fund (XLE), iShares U.S. Energy ETF (IYE), iShares Global Energy ETF (IXC), Vanguard Energy ETF (VDE), and PowerShares Dynamic Energy Exploration & Production Portfolio (PXE). A vector autoregressive (VAR) model is used to analyze the relatio

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E, Geetha, Iqbal Thonse Hawaldar, Vidya Bai G, Suhan Mendon, and Rajesha Thekkekutt Mathukutti. "Are global Exchange Traded Fund pretentious on exchange rate fluctuation? A study using GARCH model." Investment Management and Financial Innovations 17, no. 4 (2020): 356–66. http://dx.doi.org/10.21511/imfi.17(4).2020.30.

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Investors invest in a foreign market to reap the benefits of currency differences. The change in the value of underlying assets affects these hedged funds and, at the same time, restricts investors from higher return possible in unhedged funds. This study aims to examine the performance of most actively traded shares in Exchange Traded Fund and any influence, along with tracking the information from the index. This study also analyzes the currency fluctuation and its impact on returns and volatility of ETF and index. The equity ETF, which tracks NASDAQ (NDX 100), is chosen for the study, and t

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Sherrill, D. Eli, Sara E. Shirley, and Jeffrey R. Stark. "The Use of ETFs in Internationally-Focused Mutual Fund Portfolios." Quarterly Journal of Finance 11, no. 03 (2021): 2150012. http://dx.doi.org/10.1142/s2010139221500129.

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We explore the implications of US-based, internationally-focused equity mutual funds holding exchange traded funds (ETFs). We observe significant differences in how ETFs are used by international mutual funds compared to their domestic equity counterparts. Internationally-focused mutual funds use ETFs to alter the return-based and country risk exposures of the mutual fund. In addition to altering the risk of the fund, we find increases in ETF-use coincide with a change in performance, an investment in a greater number of countries, and a reduction the number of direct equity holdings.

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Gamble, James. "Can Expense Ratios Signal Performance? An Analysis of Equity ETFs & Mutual Funds." American Journal of Undergraduate Research 16, no. 4 (2020): 23–40. http://dx.doi.org/10.33697/ajur.2020.004.

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This study examines the impact of the emergence of exchange-traded funds (ETFs) as an alternative investment vehicle to mutual funds. As the number of ETFs continues to rise, we investigate potential risks and disadvantages posed by ETFs in comparison to traditional mutual funds. We compare the returns, performance, and expense ratios of ETFs to those of mutual funds. We find that expense ratios are positively correlated with actively managed mutual fund returns and that passive funds have outperformed active funds since their inception. There is downward pressure on mutual fund fees over tim

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Širůček, Martin, Jan Vystoupil, and Petr Strejček. "Profitability of Sector Mutual Funds and ETFs During Market Development and Length of Investment Horizon." Financial Assets and Investing 9, no. 2 (2018): 42–60. http://dx.doi.org/10.5817/fai2018-2-3.

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This paper focuses on the profitability of investments into IT, finance, healthcare and consumer goods oriented active and passive mutual funds and ETFs and their profit/loss in different market situations (growing, stagnant and decreasing markets).The aim of the paper is to set recommendations for investors as regards which instrument (active or passive mutual fund or ETFs) brings higher return or lower loss over the time and market development and if investors can expect different results based on the sector orientation, which sector is more sensitive to bullish or bearish trends. Our result

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Ivanov, Stoyu I. "Intraday analysis of currency ETFs." International Journal of Managerial Finance 11, no. 4 (2015): 438–50. http://dx.doi.org/10.1108/ijmf-10-2014-0161.

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Purpose – The purpose of this paper is to find if erosion of value exists in grantor trust structured exchange traded funds. The author examines the performance of six currency exchange traded funds’ tracking errors and pricing deviations on intradaily-one-minute interval basis. All of these exchange traded funds are grantor trusts. The author also studies which metric is of more importance to investors in these exchange traded funds by examining how these performance metrics are related to the exchange traded funds’ arbitrage mechanism. Design/methodology/approach – The Australian Dollar ETF

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Lin, Arthur J., and Hai-Yen Chang. "Volatility Transmission from Equity, Bulk Shipping, and Commodity Markets to Oil ETF and Energy Fund—A GARCH-MIDAS Model." Mathematics 8, no. 9 (2020): 1534. http://dx.doi.org/10.3390/math8091534.

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Oil continues to be a major source of world energy, but oil prices and funds have experienced high volatility over the last decade. This study applies the generalized autoregressive conditional heteroskedasticity-mixed-data sampling (GARCH-MIDAS) model on data spanning 1 July 2014 to 30 April 2020 to examine volatility transmission from the equity, bulk shipping, commodity, currency, and crude oil markets to the United States Oil Fund (USO) and BlackRock World Energy Fund A2 (BGF). By dividing the sample into two subsamples, we find a significant volatility transmission from the equity market

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Kaur, Prabhdeep, and Jaspal Singh. "Impact of ETF Listing on the Returns Generated by Underlying Stocks: Indian Evidence." Management and Labour Studies 46, no. 3 (2021): 263–88. http://dx.doi.org/10.1177/0258042x21991015.

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The advent of exchange traded funds (ETFs) has rendered index trading much affordable compared to their futures counterparts. The present study attempts to examine the impact of ETF listing on the price of the constituent securities of the index that it aims to track. The sample comprises of all the equity ETFs listed in India from 1 January 2002 to 31 March 2019. Event study analysis has been used to examine whether listing of ETFs bore any price impact on the constituent stocks of ETFs. To account for robustness, both parametric and non-parametric tests have been employed. The estimates obta

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Chovancová, Božena, Michaela Dorocáková, and Dagmar Linnertová. "Two Investment Options for Bearish ETF Investors: Inverse ETF and Shorting ETF." International Journal of Financial Studies 7, no. 2 (2019): 31. http://dx.doi.org/10.3390/ijfs7020031.

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A high liquidity, low expense ratio and the possibility to conduct arbitrage allow exchange-traded funds (ETFs) to be used for short sales. Bearish investors can also buy inverse ETFs. This paper aims to outline two investment approaches for bearish ETF investors and the differences between these two approaches; it also aims to examine the relationship between price and an indicator of volume and evaluate the final positions in selected ETFs in selected periods. Short ETFs dominate in simplicity, flexibility, paying out dividends and especially in the limited size of the loss. On the other han

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Matarutse, Justice. "Volatility characteristics of stocks underlying Exchange Traded Funds in South Africa." Journal of Economics and Behavioral Studies 6, no. 10 (2014): 829–39. http://dx.doi.org/10.22610/jebs.v6i10.542.

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Exchange Traded Funds (ETFs), since their inception, are now taking a foothold in emerging markets. The study measures price volatility in ETFs and their underlying stocks before and after ETF inception so as to provide new evidence of the volatility implications of ETFs for financial markets. The analysis focuses on the Johannesburg Stock Exchange (JSE) SatrixTop40 ETF and its components using an EGARCH (1, 1) model. The analysis focuses on leverage effects, absolute size of volatility innovations and volatility persistence, and concludes that these volatility characteristics have changed and

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Reddy, Y. V., and Pinkesh Dhabolkar. "Pricing Efficiency of Exchange Traded Funds in India." Organizations and Markets in Emerging Economies 11, no. 1 (2020): 244–68. http://dx.doi.org/10.15388/omee.2020.11.33.

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Exchange traded funds (ETFs) have two prices, the market price and the net asset value (NAV) price. ETFs NAV price gets determined by the net value of the constituent assets, whereas the market price of ETFs depends upon the number of units bought or sold on the stock exchange during trading hours. As per the law of one price, the NAV and market price of the ETF should be the same. However, due to demand and supply forces, the market price may divert from its NAV. This price difference may have significant repercussions to investors, as it represents a cost if they buy overvalued ETF shares or

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Maluf, Yuri Sampaio, and Pedro Henrique Melo Albuquerque. "Evidências empíricas: arbitragem no mercado brasileiro com fundos ETFs." Revista Contabilidade & Finanças 24, no. 61 (2013): 64–74. http://dx.doi.org/10.1590/s1519-70772013000100007.

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De acordo com a literatura de gestão de risco, a diversificação contribui para a mitigação do risco. Neste sentido, os fundos de índice Exchange Traded Funds (ETF), recém-introduzidos no mercado brasileiro, permitem sua fácil execução. Dentro deste contexto, o presente artigo investiga a eficiência do processo de valuation das cotas do fundo iShare Ibovespa com relação ao seu valor justo. Para isto, primeiramente é empregada uma análise das séries temporais de alta frequência do ETF e Ibovespa, seguido de simulações de estratégias que contemplem ágios/deságios entre as séries dos ativos, sem e

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Kutra, Rr Prasetiowati, Edo Edo Azhara, and Yupiter Gulo. "Peranan Exchange-Trade Funds (ETF) untuk Mendorong Pertumbuhan Industri Reksa Dana Dalam Pasar Modal Indonesia." Jurnal Pasar Modal dan Bisnis 1, no. 2 (2019): 253–64. http://dx.doi.org/10.37194/jpmb.v1i2.34.

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ETF atau Exchange-Trade Funds dikenal sebagai salah satu inovasi produk reksa dana sebagai tindak lanjut dari POJK No. 49/POJK.04/2015. Studi ini merupakan kajian deskriptif tentang produk ini dengan semua fitur keunikan yang dimilikinya sebagai salah satu bentuk diversifikasi produk reksa dana yang sudah ada. Kajian ini, juga berusaha mengeksplorasi kekuatan serta kelemahan yang dimiliki oleh produk ETF baik secara internal maupun secara eksternal. Menarik, karena kajian deskriptif ini memperlihatkan peningkatan respon dari investor yang sangat signifikan terhadap produk ETF. Salah-satu

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Jadevicius, Arvydas. "Exchange-traded fund investing as European open-end diversified core equity real-estate funds' cash substitute." Journal of Property Investment & Finance 38, no. 2 (2020): 156–60. http://dx.doi.org/10.1108/jpif-12-2019-0147.

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PurposeThe study is set to explore a viability for substituting part of cash holdings within European open-end diversified core equity (ODCE) real-estate funds with listed real-estate exchange-traded fund (ETF) alternative. Academically, this research bridges a knowledge gap within private real-estate market research.Design/methodology/approachFirst, the study investigates the correlation between ODCE and ETFs to assess series interdependence. Next, the study generates a blended ODCE and ETF portfolio and examines its performance by quantifying a) the contribution to returns and b) the diversi

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Lettau, Martin, and Ananth Madhavan. "Exchange-Traded Funds 101 for Economists." Journal of Economic Perspectives 32, no. 1 (2018): 135–54. http://dx.doi.org/10.1257/jep.32.1.135.

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Exchange-traded funds (ETFs) represent one of the most important financial innovations in decades. An ETF is an investment vehicle, with a specific architecture that typically seeks to track the performance of a specific index. The first US-listed ETF, the SPDR, was launched by State Street in January 1993 and seeks to track the S&P 500 index. It is still today the largest ETF by far, with assets of $178 billion. Following the introduction of the SPDR, new ETFs were launched tracking broad domestic and international indices, and more specialized sector, region, or country indexes. In recen

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Belomyttseva, O. S., and N. S. Erygina. "The development of exchange-traded funds in the Russian Federation." Problemy ucheta i finansov, no. 20(4) (December 1, 2015): 58–62. http://dx.doi.org/10.17223/22229388/20/8.

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Vilkancienė, Izabelė, and Rima Tamošiūnienė. "AKTYVIAI IR PASYVIAI VALDOMŲ BIRŽOJE PREKIAUJAMŲ AKCIJŲ FONDŲ PALYGINIMAS / A COMPARISON BETWEEN ACTIVELY AND PASSIVELY MANAGED EQUITY EXCHANGE TRADED FUNDS." Mokslas - Lietuvos ateitis 10 (July 5, 2018): 1–10. http://dx.doi.org/10.3846/mla.2018.1321.

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ETF are an important innovation in financial markets, enabling to effectively invest in a broadly diversified portfolio of securities. Passively managed ETFs, offer average market returns, actively managed ETFs aiming for higher than average returns. Many studies show that actively managed funds are rarely able to exceed the average annual return of a given index over a period of more than one year, market inefficiencies allows to get a higher than average market returns. The major theoretical and practical problem is whether active funds can systematically exploit market inefficiencies. Santr

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Juliana, Ahmad, and Apriliani Mutoharo. "STUDI SPILLOVER EFEK EXCHANGE-TRADED FUNDS (ETFs) DI ASEAN." Jurnal Riset Manajemen dan Bisnis (JRMB) Fakultas Ekonomi UNIAT 4, no. 2 (2019): 245–56. http://dx.doi.org/10.36226/jrmb.v4i2.262.

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The volatility of financial security make an investor difficult and inaccurate to predict the value of targeted investation. The failure for predicting the value of financial asset will mitigate for either succeed or not an investation. That condition will not happen if an investor has knowledge for predicting the volatility financial asset. There for, we need study for forecasting the spillover effect of financial asset using ARCH-GARCH model. The novelty of this study is, we compare the three of ASEAN ETFs that still rarely investigate, are: Indonesia, Malaysia and Singapore using 5 samples

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Marszk, Adam, Ewa Lechman, and Harleen Kaur. "Financial markets diffusion patterns. The case of Mexican investment funds." Equilibrium 12, no. 1 (2017): 83. http://dx.doi.org/10.24136/eq.v12i1.5.

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Research background: Exchange traded funds (ETFs) are one of the most influential financial innovations, reshaping the investment funds market in many countries, including Mexico. Due to their similar investment objectives, ETFs are considered substitutes for mutual funds. Purpose of the article: The aim of the article is to provide an indepth insight into the issues associated with the development of financial markets in Mexico over the period 2002-2012, putting special emphasis on the development patterns of ETFs. Methods: First we use descriptive statistics to unveil basic chang

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Chen, Jun, Yi Chen, and Bart Frijns. "Evaluating the tracking performance and tracking error of New Zealand exchange traded funds." Pacific Accounting Review 29, no. 3 (2017): 443–62. http://dx.doi.org/10.1108/par-10-2016-0089.

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Purpose The aim of this study is to examine the tracking performance and tracking error (TE) of New Zealand exchange traded fsunds (ETFs). Design/methodology/approach The authors use regression methods and cointegration analysis to examine tracking performance. Multivariate regressions are used to examine the determinants of TE. Findings At the daily frequency, the authors observe that the ETFs have substantially different exposures to their underlying indexes from what they should be, which is confirmed by cointegration analysis. At the monthly frequency, tracking performance improves but sti

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Kim, Dowan. "Institutional Constraints on the Rate of Derivatives in Leveraged Exchange-Traded Fund." Korean Journal of Financial Studies 49, no. 2 (2020): 217–48. http://dx.doi.org/10.26845/kjfs.2020.04.49.2.217.

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This study confirmed whether the rate of derivatives in leveraged exchange-traded funds (ETF) calculated by derivatives and net asset value (NAV) affect their tracking errors. This research established three findings. First, when the rate of derivatives was limited at 100%, the tracking error of the leveraged ETF targeted on 2 times of the index was affected by the rate of derivatives. Second, when the rate of derivatives was eased to 200%, the same-day tracking error of the leveraged ETF targeted on 2 times of the futures index that launched after the constraints was affected by the rate of d

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Rappoport, David E., and Tugkan Tuzun. "Arbitrage and Liquidity: Evidence from a Panel of Exchange Traded Funds." Finance and Economics Discussion Series 2020, no. 097 (2020): 1–46. http://dx.doi.org/10.17016/feds.2020.097.

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Market liquidity is expected to facilitate arbitrage, which in turn should affect the liquidity of the assets traded by arbitrageurs. We study this relationship using a unique dataset of equity and bond ETFs compiled from big trade-level data. We find that liquidity is an important determinant of the efficacy of the ETF arbitrage. For less liquid bond ETFs, Granger-causality tests and impulse responses suggest that this relationship is stronger and more persistent, and liquidity spillovers are observed from portfolio constituents to ETF shares. Our results inform the design of synthetic securi

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Širůček, Martin, Václav Ruml, and Petr Strejček. "Measuring the Performance of Leveraged and Non‑Leveraged ETF’s." Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis 66, no. 5 (2018): 1357–67. http://dx.doi.org/10.11118/actaun201866051357.

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This paper deals with exchange traded funds (ETFs) and valuation it’s performance according to selected indicators. For empirical analysis 10 leveraged and non‑leveraged ETFs listed on US market is chosen according to selected criterias (adequate history at least 7 years, daily presented NAV, accessibility for retail investor). Observed time period was 2010–2015 and selected investment horizon is 1, 3 and 6 years. Funds are analyzed on the basis of NAV in the terms of return and risk represented by selected indicators (like Sharpe ratio, Traynor ratio, Information ratio, Apparaisal ratio and i

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Arantes, Pedro Paulo Melo, Guilherme Santos Souza, Antonio Sergio Torres Penedo, and Vinícius Silva Pereira. "COMPARAÇÃO E CLASSIFICAÇÃO DE RISCO ENTRE ETFS E SEUS ÍNDICES DE REFERÊNCIA." Revista Mosaico 9, no. 1 (2018): 19–26. http://dx.doi.org/10.21727/rm.v9i1.1219.

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Exchange Traded Funds (ETFs) são fundos negociados em bolsa de valores que foram a poucos anos incorporados no mercado de capitais brasileiro, fato ocorrido apenas em 2004. Dessa forma há poucos estudos sobre ETF, o que possibilita várias abordagens sobre sua temática e comparabilidade entre ETF, fundos e índices. Dessa forma este trabalho buscou comparar e classificar o risco das ETFs utilizando a medida de desvio-padrão e Índice Sharpe. Para isso utilizou-se de uma amostra intraday para as ETFs brasileiras no mês de outubro, avaliando numa perspectiva de curso prazo a variabilidade das ETFs.

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Trainor, William, and Richard Gregory. "Leveraged ETF option strategies." Managerial Finance 42, no. 5 (2016): 438–48. http://dx.doi.org/10.1108/mf-12-2014-0305.

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Purpose – Leveraged exchange traded funds (ETFs) have become increasingly popular since their introduction in 2006. In recent years, options on leveraged ETFs have been promoted as a means of enhancing returns and reducing risk. The purpose of this paper is to examine the interchangeability of S & P 500 ETF options with leveraged S & P 500 ETF options and to what extent these options allow investors to manage their risk exposure. Design/methodology/approach – With increasing liquidity for these fund’s options, simple option strategies such as covered calls and protective puts can be im

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邝, 潇珂. "The Research on Performance Measurement of Exchange Traded Funds—Taking Hushen300 ETF as an Example." Management Science and Engineering 07, no. 02 (2018): 132–41. http://dx.doi.org/10.12677/mse.2018.72016.

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Kim, Soojung, and Hyung-Suk Choi. "The Effect of Portfolio Composition on the Pricing Efficiency of Exchange Traded Funds." Korean Journal of Financial Studies 47, no. 1 (2018): 1–25. http://dx.doi.org/10.26845/kjfs.2018.02.47.1.1.

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Chandrasekaran, Buvanesh, and Rajesh H. Acharya. "A study on volatility and return spillover of exchange-traded funds and their benchmark indices in India." Managerial Finance 46, no. 1 (2019): 19–39. http://dx.doi.org/10.1108/mf-01-2019-0025.

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Purpose The purpose of this paper is to empirically examine the volatility and return spillover between exchange-traded funds (ETFs) and their respective benchmark indices in India. The paper uses time series data which consist of equity ETF and respective index returns. Design/methodology/approach The study uses autoregressive moving average–generalized autoregressive conditional heteroscedasticity and autoregressive moving average–exponential generalized autoregressive conditional heteroscedasticity models. The study uses data from the inception date of each ETF to December 2016. Findings Th

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Kambeu, Edson. "The role of Exchange Traded Funds in the price discovery process of stocks listed on the Botswana Stock Exchange." International Journal of Finance & Banking Studies (2147-4486) 6, no. 1 (2019): 141–48. http://dx.doi.org/10.20525/ijfbs.v6i1.662.

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In this paper we analyse the role of Exchange Traded Funds (ETFs) in the price discovery process of stocks listed at the Botswana Stock Exchange.Using daily returns data covering the period 3 January 2013 to 31 December 2015 for Beta Betta ETF and Domestic Company Indices, we utilize a VECM model to find out whether the Betta Beta ETF is playing a significant role in the price discovery process of stocks listed on the Botswana Stock Exchange. We found the error correction term to be statistically significant thereby confirming that the Beta Betta ETF is playing a significant role in the price

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Williams, Owen. "Foreign currency exposure within country exchange traded funds." Studies in Economics and Finance 33, no. 2 (2016): 222–43. http://dx.doi.org/10.1108/sef-10-2014-0196.

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Purpose The purpose of this paper is to consider the implicit effect of the underlying foreign currency exposure on the performance characteristics of country exchange traded funds. Design/methodology/approach To arrive at an overall estimation of the exchange-traded fund (ETF)’s tracking error, the mean of the three measures of tracking error was calculated for both the hedged (r_LC) and unhedged (r_NAV) return series. Since tracking error does not capture all the risk inherent in a country index fund, the study extends the analysis using the Sortino and Modified Sharpe ratios. Findings The d

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Hsieh, Heng-Hsing, Kathleen Hodnett, and Paul Van Rensburg. "Do Managers Of Global Equity Funds Outperform Their Respective Style Benchmarks? Evidence From South Africa." International Business & Economics Research Journal (IBER) 11, no. 3 (2012): 269. http://dx.doi.org/10.19030/iber.v11i3.7157.

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The results of our prior research on internationally-domiciled global equity funds suggest that active managers do not provide economic benefits, in addition to their underlying investment style benchmarks. This finding implies that the performances of global equity funds are derived mainly from the broad investment styles followed by the active managers rather than the stock-picking activities of the managers. We replicate our earlier research to investigate the performances of the six well-established global equity funds in the South African unit trust industry. Our results indicate that fou

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Kim, Su-Sung, and JungHwa Suh. "A Study on the Taxation on the Foreign ETF : Focusing on ETF investment of pension funds." KOREAN SOCIETY OF TAX LAW 6, no. 1 (2021): 89–120. http://dx.doi.org/10.37733/tkjt.2021.6.1.89.

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P.R, Roshni, and E. Sulaiman. "PERFORMANCE OF NIFTY 50 EXCHANGE TRADED FUNDS." International Journal of Advanced Research 9, no. 02 (2021): 77–83. http://dx.doi.org/10.21474/ijar01/12420.

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The study evaluated the performance of selected Nifty 50 ETFs tracking Nifty 50 Index listed in National Stock Exchange in India during a period of six years starting from 1st April, 2014 to 31st March, 2020. The performance of ETFs is measured using Average Daily Returns, CAGR, HPR, Standard Deviation, Tracking Error, R squared and Beta. It is found that there is difference in the risk-return pattern of Nifty 50 ETFs and its index Nifty 50. Aditya Birla Nifty ETF is the performing fund among the selected ETFs.

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Chu, Patrick Kuok-Kun. "Analysis and Forecast of Tracking Performance of Hong Kong Exchange-Traded Funds: Evidence from Tracker Fund and X iShares A50." Review of Pacific Basin Financial Markets and Policies 19, no. 04 (2016): 1650022. http://dx.doi.org/10.1142/s0219091516500223.

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This study examines the tracking performance of two Hong Kong exchange-traded funds (ETFs): Tracker Fund and X iShares A50. The turnover of these two ETFs was more than half the total turnover of the 141 ETFs in the Hong Kong market during 2005–2013. Tracking performance is assessed using pricing deviation, which is found to be nonzero and predictable. This indicates that the premium paid by investors is of considerable economic interest. The significant differences in the tracking performance of physical ETFs and synthetic ETFs highlight the relative inability of synthetic ETF to track the ma

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Bahadar, Stephen, Christopher Gan, and Cuong Nguyen. "Performance Dynamics of International Exchange-Traded Funds." Journal of Risk and Financial Management 13, no. 8 (2020): 169. http://dx.doi.org/10.3390/jrfm13080169.

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Asynchronous trading hours between the markets of Exchange-Traded Funds (ETFs) and their benchmarks not only make it difficult to apply a full replication strategy but also make the creation/redemption process ineffective and consequently distress the performance of international ETFs. Despite the exponential growth of the ETF industry in general and international ETFs in particular, the performance of international ETFs is under-researched. Therefore, this study evaluates the performance of US-listed international ETFs by analyzing the returns, volatilities, tracking ability and pricing effic

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Lin, Jung-Chu. "Does Pricing Deviation of Exchange-Traded Funds Predict ETF Returns?" Asian Economic and Financial Review 7, no. 8 (2017): 748–59. http://dx.doi.org/10.18488/journal.aefr.2017.78.748.759.

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Saunders, Kent T. "Analysis of International ETF Tracking Error in Country-Specific Funds." Atlantic Economic Journal 46, no. 2 (2018): 151–60. http://dx.doi.org/10.1007/s11293-018-9574-x.

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Łęt, Blanka. "AN ANALYSIS OF THE DEPENDECIES BETWEEN THE ENERGY COMMODITY EXCHANGE TRADED FUNDS." Zeszyty Naukowe Uniwersytetu Szczecińskiego Finanse Rynki Finansowe Ubezpieczenia 86 (2017): 313–24. http://dx.doi.org/10.18276/frfu.2017.86-26.

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Chen, Haiwei, James Estes, and William Pratt. "Investing in the healthcare sector: mutual funds or ETFs." Managerial Finance 44, no. 4 (2018): 495–508. http://dx.doi.org/10.1108/mf-08-2017-0280.

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Purpose The purpose of this paper is to investigate how healthcare funds differ from healthcare exchange-traded funds (ETFs) in terms of delivering positive alpha, beta, and hedging against a market downturn risk. The authors consider which vehicle is more effective in providing diversification within the healthcare sector and to what extent can investors gain by diverting a portion of their holdings in the S&P 500 index fund into either a value-weighted healthcare fund portfolio or ETFs. Design/methodology/approach Pooled and individual regressions are employed to estimate single and four

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Rodríguez-Reyes, Luis Raúl, Ángel Samaniego, and Mireya Pasillas. "Strategies in Retirement Fund Selection in the Mexican Retirement Market 1997-2018." Revista Mexicana de Economía y Finanzas 16, TNEA (2021): 1–16. http://dx.doi.org/10.21919/remef.v16i0.657.

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Objective: This research studies individual investment strategies that can be employed by Mexican workers to choose a retirement savings company, to provide evidence that can guide workers and governments in their pursuit for a higher replacement rate. Methods: To accomplish such task, more than 200,000 individual decisions in rolling-windows are simulated, based on more than twenty-years of market prices on retirement funds in Mexico (1997-2018). Outcome: Results indicate that contrarian-based strategies dominate momentum-based strategies in three out of four categories of funds. Recommendati

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Almudhaf, Fahad, and Bader Alhashel. "Pricing efficiency of Saudi exchange traded funds (ETFs)." Journal of Islamic Accounting and Business Research 11, no. 3 (2020): 793–809. http://dx.doi.org/10.1108/jiabr-06-2017-0082.

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Purpose This paper aims to investigate the pricing efficiency of Saudi Sharia-compliant (i.e. Islamic) exchange-traded funds (ETFs). Design/methodology/approach The paper adheres to a positivist research philosophy with a deductive research approach where data is collected, analyzed and interpreted to examine a hypothesis. Ordinary least squares (OLS) regressions are applied to investigate pricing efficiency and persistence. Findings The results show that Saudi ETFs do not currently offer proper diversification for investors, possibly due to their low trading volumes and the delays of market p

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Chang, Chia-Lin, Tai-Lin Hsieh, and Michael McAleer. "Connecting VIX and Stock Index ETF with VAR and Diagonal BEKK." Journal of Risk and Financial Management 11, no. 4 (2018): 58. http://dx.doi.org/10.3390/jrfm11040058.

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As stock market indexes are not tradeable, the importance and trading volume of Exchange-Traded Funds (ETFs) cannot be understated. ETFs track and attempt to replicate the performance of a specific index. Numerous studies have demonstrated a strong relationship between the S&P500 Composite Index and the Volatility Index (VIX), but few empirical studies have focused on the relationship between VIX and ETF returns. The purpose of the paper is to investigate whether VIX returns affect ETF returns by using vector autoregressive (VAR) models to determine whether daily VIX returns with different

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Troshin-, Aleksandr, and Sergey Nosov-. "STOCK INVESTMENT FUNDS ETF - AS A TOOL FOR ACTIVATION OF REAL SECTOR OF ECONOMY." Вестник Белгородского государственного технологического университета им. В.Г. Шухова 2, no. 2 (2017): 255–59. http://dx.doi.org/10.12737/24217.

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