705 research outputs found
Herding Behavior among Exchange-Traded Funds
No full textThe author examines whether the trading behavior of exchange-traded funds (ETFs) is biased by any herding effect. Return data of a sample of 66 and 34 large-cap and small-cap ETFs, respectively, are used over the period 2012–2016 to assess whether these funds herd and whether herding is more pronounced during extreme markets, during down markets, and during days with extreme trading activity and volatility. The results show that herding is not the case for ETFs. However, some evidence is obtained on a decreasing return dispersion among ETFs on days with negative market returns. Trading activity seems not to induce herding. On the contrary, the author obtains evidence that shows that the higher the trading volumes are, the higher the return dispersion among ETFs is. When it comes to herding during highly volatile markets, the author finds that return dispersion among ETFs decreases on days with extremely high intraday volatility. However, when assessing the relationship between return dispersion and volatility without focusing on days with extremely high risk, the author obtains strong evidence of a linear relation between the 2 variables. This contradicting finding suggests that the stronger the intraday volatility in the ETF market is, the wider the dispersion in returns among ETFs is. © 2018, © 2018 The Institute of Behavioral Finance
The ESG ETFs in the UK
No full textThis study examines the performance of 49 so-called ESG ETFs in the UK. These funds apply environmental, social and governance criteria in their investing strategies. Raw and risk-adjusted returns are estimated with standard methodology including the Capital Assets Pricing Model, the Fama and French (Journal of Financial Economics 116:1–22, 2015) Five-Factor Model, and the Sharpe and Treynor ratios. On average terms, no significant alpha is achieved by ESG ETFs in the UK, whereas there are not differences in Sharpe and Treynor ratios between ETFs and their benchmarks. However, some empirical evidence obtained indicates that ESG ETFs outperform the FTSE 100 Index, which stands as a proxy for the UK stock market. Along with performance, we examine whether investors award responsible ETFs by entrusting more money to them. However, no significant relationship is found between the ESG rating of ETFs and their assets. On the contrary, it is revealed that the return of ETFs is negatively related to their ESG metrics. © 2021, The Author(s), under exclusive licence to Springer Nature Limited
Predictable patterns in ETFs' return and tracking error
No full textThe purpose of this paper is to assess whether exchange-traded funds (ETFs) can beat the market, as it is expressed by the Standard and Poor (S&P) 500 Index, examine the outperformance persistence, calculate tracking error, assess the tracking error persistence, investigate the factors that induce tracking error and assess whether there are predictable patterns in ETFs' performance. The author uses a sample of 50 iShares during the period 2002-2007 and calculates the simple raw return, the Sharpe ratio and the Sortino ratio, regresses the performance differences between ETFs and market index, calculates tracking error as the standard deviation in return differences between ETFs and benchmarks, assesses tracking error's persistence in the same fashion used to assess the ETFs' outperformance persistence, examines the impact of expenses, risk and age on tracking error and applies dummy regression analysis to study whether the performance of ETFs is predictable. The results reveal that the majority of the selected iShares beat the S&P 500 Index, both at the annual and the aggregate levels while the return superiority of ETFs strongly persists at the short-term level. The tracking error of ETFs also persists at the short-term level. The regression analysis on tracking error reveals that the expenses charged by ETFs along with the age and risk of ETFs are some of the factors that can explain the persistence in tracking error. Finally, the dummy regression analysis indicates that the performance of ETFs can be somehow predictable. The findings of this paper may be of help to investors seeking investment choices that will help them to gain above market returns. In addition, tracking error-concerned investors will be helped by the findings of the paper. Finally, the findings on return predictability can also be helpful to investors. © 2011, Emerald Group Publishing Limited
Spillover effects between US ETFs and emerging stock markets
No full textThe current paper focuses on return and volatility spillovers between the US ETF market and emerging stock markets using a sample of 40 US-listed iShares, which track several emerging stock markets indices from the Americas, Europe, Asia and South Africa. Advanced econometric and correlation analysis techniques are employed in our investigation. More specifically, a comprehensive correlation analysis, which includes the Pearson’s simple correlation coefficient and the conditional constant correlation and dynamic conditional correlation coefficients, is performed to answer whether a significant comovement pattern exists between the two markets. Going further, three alternative models, namely an ARMA model, an ARMA-GARCH model and an ARMA-EGARCH model, are used to assess the existence of material spillover effects on returns. Finally, five models are used to accentuate any significant spillovers on volatilities between US emerging markets ETFs and their benchmarks. These models are the augmented GARCH model, the ARMA-GARCH model, the ARMA-EGARCH model, the scalar-BEKK model, and the ARMA-scalar-BEKK model. The empirical findings of correlation analysis reveal a high degree of comovement between the US ETF market and the underlying emerging stock markets. Furthermore, the results on return spillovers demonstrate that significant bilateral such effects exist between ETFs and benchmarks. This is also the case for volatilities. Copyright © 2018 Inderscience Enterprises Ltd
Does the law of one price apply to dually listed ETFs belonging to the same family Evidence from iShares
No full textAccording to the law of one price, two identical securities traded in different places at the same time should command the same price. This law is expected to strongly hold when the identical securities also belong to the same investment family. In this article, we examine whether the law of one price applies to dually listed securities belonging to the same family. In particular, we use a sample of 12 pairs of the UK and US ETFs managed by the same family (the Blackrock) and tracking the same stock index in the period 2002-2011 so as to investigate whether there are any differences in key institutional characteristics, such as assets under management, expense ratio, return, risk and tracking ability. The results indicate significant differences in assets, expenses, performance and risk profile but not in the tracking efficiency between the UK and US ETFs. The results also indicate that the performance of the UK ETFs is independent to the performance of the US counterparts. On the basis of the findings, we may conclude that dual or multiple offerings originated in countries with differences in institutional framework, currencies and time zones are likely to differ despite them being offered and managed by the same firm. Therefore, the assumption about the one price is rejected and, thus, multiple offerings of ETFs are expected to co-exist. © 2012 Macmillan Publishers Ltd
Actively versus passively managed equity ETFs: New empirical insights
No full textThis study employs a sample of 37 active and passive ETF pairs, which invest in common stocks, to assess their performance and risk up to December 31, 2016. Several return metrics are computed such as absolute, buy-and-hold returns and risk-adjusted returns. Moreover, a cross-sectional regression analysis is applied, which seeks to identify the factors that may influence the performance of ETFs. Finally, the ability of managers to time the market is examined. The findings are similar to those in the previous literature. In particular, the active ETFs are inferior to passive ETFs in terms of performance and overall risk also failing to deliver any material excess-market return. In addition, the active ETF managers are lacking in superior market timing skills. Finally, the performance of ETFs is found to be related to expenses and volume in a negative fashion while a positive relation is revealed between performance and the assets invested in ETFs. © 2020 Inderscience Enterprises Ltd
The impact of terrorism on islamic exchange traded funds
No full textThis paper examines the performance and volatility of three Islamic and three comparative non-Islamic ETFs around the Charlie Hebdo magazine attack, the November 2015 Paris attack and the 2016 Brussels bombings. The main research question concerns whether investors "punish" Islamic ETFs by redeeming their investments in them as a response to terrorist actions by Muslims. If such an attitude was the case, mass redemptions of Islamic ETF shares should cause a rapid decline in their prices compared to the decrease in the prices of non-Islamic ETFs. Moreover, the volatility of Islamic ETFs should be higher than the volatility of the non-faith-based ETFs. Our hypothesis about performance is verified by the daily returns on the day of the attack in the first event examined, and on the day following the attack and the fifth day after the attack in the rest two incidents considered. Cumulative five-day returns after the attack also verify our hypothesis in the three terrorist actions. With respect to volatility, the risk of Islamic ETFs is lower than the risk of non-Islamic ETFs on the day after each attack but it is higher on all the other days considered
Interfamily competition on index tracking: The case of the vanguard ETFs and index funds
No full textWe provide evidence on the debate of Exchange traded funds (ETFs) versus Index Funds using data of ETFs and index funds belonging to the same investing family. Data used involve the Vanguard funds and results indicate that ETFs and index funds present, on average, similar return and risk records. In addition, the risk of ETFs and index funds is similar to the risk of the tracking indices. However, the return of these alternative investing tools is slightly inferior to the return of benchmarks. Moreover, a positive relationship between return and risk is revealed. Further research demonstrates that ETFs and index funds are fully invested in their benchmarks. As a result, the tracking error for both ETFs and index funds is low. Finally, the tracking error is found to be positively affected by expenses. © 2009 Palgrave Macmillan
- …
