Publication:
Performance and trading characteristics of exchange traded funds: developed vs emerging markets
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Date
2015
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Abstract
Exchange Traded Funds (ETFs) are one of the most successful financial innovations of the last decades. The main focus of this study is to examine the risk adjusted performance, tracking error and trading characteristics of emerging and developed markets ETF. 43 passively managed equity ETFs have been chosen to cover both markets. The results indicate that the emerging markets are less efficient in terms of index replication and possess higher tracking error compared to the developed market ETF. Conversely, emerging markets provide better risk adjusted performance. Last but not least, it is also found that assets size has positive impacts towards ETFs performance and in contrast, the expense ratio has a negative impact on ETFs performance. To determine the policy matters, investment types and strategy for the two different types of capital market products, this study is quite relevant to the individual investor, institutional investors, policy makers and the regulators.
Keywords
Exchange Traded Funds , Capital markets , Performance , Tracking error , Trading characteristics
Citation
Khan, A. P., Bacha, O. I., & Mohammed Masih, A. M. (2015). Performance and trading characteristics of exchange traded funds: Developed vs emerging markets. Capital Markets Review, 23, 40-64.
Publisher
Bursa Malaysia
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