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Performance and trading characteristics of exchange traded funds: developed vs emerging markets

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dc.contributor.authorAftab Parvez Khan
dc.contributor.authorAbul Mansur Mohammed Masih
dc.contributor.authorObiyathulla Ismath Bacha
dc.date.accessioned2017-03-03T03:28:08Z
dc.date.available2017-03-03T03:28:08Z
dc.date.issued2015
dc.description.abstractExchange 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.en_US
dc.identifier.citationKhan, 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, pp. 40-64.en_US
dc.identifier.urihttps://ikr.inceif.org/handle/INCEIF/2270
dc.languageEnglish
dc.language.isoengen_US
dc.publisherBursa Malaysiaen_US
dc.rights2015. Bursa Malaysia
dc.sourceSEDONA
dc.subjectExchange Traded Fundsen_US
dc.subjectCapital marketsen_US
dc.subjectPerformanceen_US
dc.subjectTracking erroren_US
dc.subjectTrading characteristicsen_US
dc.titlePerformance and trading characteristics of exchange traded funds: developed vs emerging marketsen_US
dc.typeJournal Articleen_US
dlc.maintopicConventional finance
dspace.entity.typePublication
ikr.doctypeScholarly Works
ikr.topic.maintopicConventional financeen_US
ikr.topic.subtopicConventional financeen_US
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