Yap, K.-L. and Lau, Wee Yeap and Ismail, Izlin (2021) Does an exchange-Traded fund converge to its benchmark in the long run? evidence from ishares msci in asia-pacific countries. Humanities and Social Sciences Letters, 9 (4). pp. 389-402. ISSN 23125659, DOI https://doi.org/10.18488/journal.73.2021.94.389.402.
Full text not available from this repository.Abstract
G11; G12; G14. This study examines the linkages between exchange-Traded funds (ETFs) and their benchmark indices from 2013 to 2019 using iShares MSCI of ten Asia-Pacific countries. Our results show, first, that there is a long-run causality running from the benchmark index to ETFs. These findings imply that ETFs may replicate the performance of the benchmark index over the long run. Second, there is a unidirectional causal relationship from ETFs to the benchmark index in the short run, which indicates that benchmark index prices respond to the short-run changes in the ETF prices when new information is available. Third, there is a significant tracking error between ETFs and the benchmark index. This finding justifies the existence of stock selection and market timing abilities among the ETF managers. Lastly, fund managers add value to the ETFs and generate better than the market returns. This paper provides new evidence to support this new stylized fact of ETFs. © 2021 Conscientia Beam. All rights reserved.
| Item Type: | Article |
|---|---|
| Funders: | UNSPECIFIED |
| Uncontrolled Keywords: | Cointegration; Exchange-Traded fund; Performance; Tracking error |
| Subjects: | H Social Sciences > H Social Sciences (General) H Social Sciences > HB Economic Theory H Social Sciences > HB Economic Theory > Business cycles. Economic fluctuations |
| Divisions: | Faculty of Business and Economics Faculty of Business and Economics > Department of Finance |
| Depositing User: | Ms Zaharah Ramly |
| Date Deposited: | 29 Nov 2023 01:08 |
| Last Modified: | 29 Nov 2023 04:33 |
| URI: | http://eprints.um.edu.my/id/eprint/36168 |
Actions (login required)
 |
View Item |
