Indonesian Exchange Traded Fund Performance

Radityo Fajar Arianto, Hendrawan Supratikno, Gracia Shinta S. Ugut, Edison Hulu

Abstract


This study aims to examine the effect of index volatility, changes in market capitalization, volume, momentum and liquidity on the difference between net asset value (NAV) return with the benchmark indexreturn of ETFs in Indonesia individually. The sample from this study amounted to 19 ETFs with purposive sampling method for the period 1 January – 30 June 2020. The analytical tool used was multiple regression with time series data. The results of this study include that the volatility of the benchmark index is a significant factor for the six sample ETFs. Meanwhile, changes in market capitalization are not a significant factor affecting tracking error.


Keywords


index return, volatility, market capitalization, liquidity, tracking error

Full Text:

PDF

References


Ackert, L. F., & Tian, Y. S. (2008). Arbitrage, liquidity, and the valuation of exchange traded funds. Financial Markets, Institutions and Instruments, 17(5), 331–362. https://doi.org/10.1111/j.1468-0416.2008.00144.x

Baihaqqy, M.R.I., et al. (2020). The Effect of Financial Literacy on the Investment Decision. Budapest International Research and Critics Institute-Journal (BIRCI-Journal). P. 3073-3083.

Blitz, D., & Huij, J. (2012). Evaluating the performance of global emerging markets equity exchange-traded funds. Emerging Markets Review, 13(2), 149–158. https://doi.org/10.1016/j.ememar.2012.01.004

Chovancova, B., & Arendas, P. (2015). Long term passive investment strategies as a part of pension systems. Economics and Sociology, 8(3), 55–67. https://doi.org/10.14254/2071-789X.2015/8-3/4

Chu, P. K. K. (2011). Study on the tracking errors and their determinants: Evidence from Hong Kong exchange traded funds. Applied Financial Economics, 21(5), 309–315. https://doi.org/10.1080/09603107.2010.530215

Deville, L. (2008). Exchange traded funds: History, trading, and research. Springer Optimization and Its Applications, 18, 67–97. https://doi.org/10.1007/978-0-387-76682-9_4

Frino, A., & Gallagher, D. R. (2001). Tracking S&P 500 Index Funds. The Journal of Portfolio Management, 28(1), 44–55. https://doi.org/10.3905/jpm.2001.319822

Frino, A., & Gallagher, D. R. (2002). Measuring Index Funds Performance. 38(2).

Gallagher, D. R., & Segara, R. (2006). The performance and trading characteristics of exchange-traded funds. Journal of Investment Strategy, 1(2), 49–60.

Hassine, M., & Roncalli, T. (2013). Measuring Performance of Exchange-Traded Funds. The Journal of Index Investing, 115, 57–85.

Jares, T. E., & Lavin, A. M. (2004). Japan and Hong Kong exchange-traded funds (ETFs): Discounts, returns, and trading strategies. Journal of Financial Services Research, 25(1), 57–69. https://doi.org/10.1023/B:FINA.0000008665.55707.ab

Jiang, Y., Guo, F., & Lan, T. (2010). Pricing Efficiency of China’s Exchange-Traded Fund Market. The Chinese Economy, 43(5), 32–49. https://doi.org/10.2753/ces1097-1475430503

Kostovetsky, L. (2003). Index mutual funds and exchange-traded funds. Journal of Portfolio Management, 29(4), 80-92+7. https://doi.org/10.3905/jpm.2003.319897

Lettau, M., & Madhavan, A. (2018). Exchange-Traded Funds 101 for Economists. The Journal of Economic Perspectives, 32(1), 135–154. https://doi.org/10.1057/978-1-349-95189-5_340

Madhavan, A. N. (2016). Exchange- Traded Funds and the New Dynamics of Investing. OXFORD University Press.

Milonas, N. T., & Rompotis, G. G. (2006). Investigating European ETFs: the case of the Swiss exchange traded funds. The Annual Conference of HFAA.

Olienyk, J. P., Schwebach, R. G., & Zumwalt, J. K. (1999). WEBS, SPDRs, and country funds: An analysis of international cointegration. Journal of Multinational Financial Management, 9(3–4), 217–232. https://doi.org/10.1016/s1042-444x(99)00003-1

Purohit, H., & Malhotra, N. (2015). Pricing Efficiency and Performance of Exchange Traded Funds in India. The IUP Journal of Applied Finance, 21(3), 16–35. http://ssrn.com/abstract=2671810

Rompotis, G. (2006). An Empirical Look on Exchange Traded Funds By Gerasimos G. Rompotis ∗. https://ssrn.com/abstract=905770

Rompotis, G. G. (2012). The German Exchange Traded Funds. IUP Journal of Applied Finance, 18(4), 62–82. https://doi.org/http://dx.doi.org/10.2139/ssrn.929460

Shanmugham, R., & Zabiulla. (2012). Pricing efficiency of nifty BeES in bullish and bearish markets. Global Business Review, 13(1), 109–121. https://doi.org/10.1177/097215091101300107

Shin, S., & Soydemir, G. (2010). Exchange-traded funds, persistence in tracking errors and information dissemination. Journal of Multinational Financial Management, 20(4–5), 214–234. https://doi.org/10.1016/j.mulfin.2010.07.005

Svetina, M. (2010). Exchange Traded Funds: Performance and Competition. Journal of Applied Finance (Formerly Financial Practice and Education), 20(2).

Vardharaj, R., Fabozzi, F. J., & Jones, F. J. (2004). Determinants of Tracking Error. The Journal of Investing, Summer, 37–47.




DOI: https://doi.org/10.33258/birci.v4i3.2282

Article Metrics

Abstract view : 191 times
PDF - 86 times

Refbacks

  • There are currently no refbacks.


Creative Commons License
This work is licensed under a Creative Commons Attribution-ShareAlike 4.0 International License.

 

Creative Commons License
This work is licensed under a Creative Commons Attribution-ShareAlike 4.0 International License.