ETFs Performance Europe - A Good Start or Not?

Yiannaki, Simona Mihai

doi:10.1016/s2212-5671(15)01346-5

Cited by 10 publications

(4 citation statements)

References 16 publications

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“…These results appear to be generally consistent with the results obtained by Johnson et al ( 2013 ). However, TEs turned out to be smaller than in the study of Milonas and Rompotis ( 2006 )—where an average TE was 1.02%—and in the Yiannaki research ( 2015 ) in particular. In the latter case, this might be a consequence of adopting a different sample period (2008–2014), which matters for two reasons.…”

Section: Resultscontrasting

confidence: 55%

“…Yiannaki ( 2015 ) analysed performance of 24 equity ETFs in the period of 2008–2014, domiciled in two main European hubs (12 in Luxembourg and 12 in Ireland) and listed on three major European exchanges (London Stock Exchange, Euronext Paris, Deutsche Boerse), which track the same indices, including two ETFs replicating the Euro Stoxx 50 Index (iShares (EUE) and db x-trackers (DBXE)). Tracking errors for these two funds did not differ considerably from each other, although their values turned out to be relatively high over an annual, three-year and the entire examined period; they amounted, respectively, to 1.78% and 1.63%, 1.59% and 1.50%, and 2.65% and 2.99%.…”

Section: Literature Reviewmentioning

confidence: 99%

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How precisely European equity ETFs mirror their flagship benchmarks? Evidence from funds replicating performance of Euro Stoxx 50 Index

Feder‐Sempach

Miziołek

2022

J Asset Manag

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The main goal of the article is to examine the tracking efficiency of a homogenous sample of 14 ETFs listed on European exchanges, replicating the performance of Euro Stoxx 50 Index—a benchmark index for blue chips from the euro area. This study provides some insights into the tracking quality of European ETFs over the long time horizon (2012–2021 period) including data from entire business cycle: both economic prosperity and COVID-19 crisis. The study has been made applying different tracking error calculation techniques and return intervals—daily, weekly and monthly. Passive investing may be a highly desirable, cheap and accurate method for long or short term investments in the largest 50 cap companies in the euro zone. Hence, this unique research may help to succeed in ETF selection process. The study reveals that ETFs are very effectively managed by keeping the TEs below 0.3% (for ETFs with accumulating share classes) and below 1% (for ETFs with distributing share classes). This shows that the ETFs with accumulating share classes perform much better—the average TE for three different methods is 0.11% for accumulating share classes ETFs and 0.33% for distributing share classes ETFs. It proofs, that it is not important whether to use the standard deviation of the difference between the return of an ETF and that of its benchmark index, or the standard error of regression in TE assessment, both methods give very similar results. However, TE calculation method signifies, if the average of the absolute difference between the return of an ETF and that of the index is used. Additionally, it is found that time intervals used in TE calculations matter—the shift from monthly to daily intervals results in reduction of TE levels. Using shorter intervals brings lower TE values of European ETFs.

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Section: Resultscontrasting

confidence: 55%

Section: Literature Reviewmentioning

confidence: 99%

How precisely European equity ETFs mirror their flagship benchmarks? Evidence from funds replicating performance of Euro Stoxx 50 Index

Feder‐Sempach

Miziołek

2022

J Asset Manag

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“…Aditya & Desai (2015) found that it takes minimum of 4 days and maximum of 10 days for the deviation between NAV and price to disappear indicating that Indian ETFs are not efficient. From the risk adjusted performance perspective, the ETFs in Luxembourg outperform the Irish ones, leading to mergers & acquisitions in the industry (Yiannaki, 2015). Asynchronous trading of the ETF and the underlying portfolio, constant flow of information in the market causes frequent discounts and premiums on such ETFs and there is a positive relationship between the returns and lagged deviations, which indicates that there is a scope for exploiting arbitrage opportunities (Jares & Lavin, 2004).…”

Section: Literature Reviewmentioning

confidence: 99%

“…In an efficient market, ETFs trade at prices that are close to their NAVs. However, in practice they always trade at a premium or discount (Aditya & Desai, 2015;Yiannaki, 2015;Jares & Lavin, 2004;Goel & Ahluwalia, 2021;Göncü & Akyildirim, 2017) prove that statistical arbitrage profits are possible if at least one asset in the economy satisfies arbitrage condition. Despite arbitrage constraints are low, investors could not reduce tracking error (Goel & Ahluwalia, 2021).…”

Section: Introductionmentioning

confidence: 99%

Do Exchange Traded Funds in India Have Tracking and Pricing Efficiency?

Velagala

2022

ADS

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Purpose:The study investigates tracking and pricing efficiencies of selected exchange traded funds (ETFs) in India.Design/methodology/approach: The study applies different methods of determining tracking errors to assess tracking abilities of ETF managers; the average absolute differences as well as the standard deviation of differences between ETF returns and benchmark returns and standard errors from the regression of ETF returns against the benchmark. The study further uses Vector Error Correction Model (VECM) to examine the lead lag relationship between Net Asset Values (NAVs) and market prices of ETFs and pricing efficiency. Findings: ICICI Prudential Sensex ETF exhibits the highest tracking error and Aditya Birla Sun Life Nifty ETF shows the lowest tracking error. NAVs lead their respective market prices indicating huge scope for arbitrage opportunities to authorized participants. Persistence in the deviation between NAVs and market prices is prevalent for longer period, indicating inefficient price discovery mechanism of Indian ETF market. The study confirms market inefficiency in Indian ETF market.Originality/value: The existing literature on tracking and pricing efficiencies of ETF is largely with respect to advanced countries. There is a limited evidence of such studies in Indian context. Hence, the study adds to the literature by examining the efficient market hypothesis in Indian ETF market in terms of tracking and pricing efficiencies. Practical Implications:The study reveals the presence of inefficient price discovery and the scope for arbitrage. This may be due to low level of trading activity and inefficient arbitrage mechanism in India. Hence, it is the need of the hour that Securities and Exchange Board of India (SEBI) and stock exchanges should take necessary initiatives to improve trading activity in ETFs and thereby to achieve market efficiency.

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Exchange-Traded Funds: Concepts and Contexts

Marszk¹,

Lechman²

2019

Exchange-Traded Funds in Europe

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ETFs Performance Europe - A Good Start or Not?

Cited by 10 publications

References 16 publications

How precisely European equity ETFs mirror their flagship benchmarks? Evidence from funds replicating performance of Euro Stoxx 50 Index

How precisely European equity ETFs mirror their flagship benchmarks? Evidence from funds replicating performance of Euro Stoxx 50 Index

Do Exchange Traded Funds in India Have Tracking and Pricing Efficiency?

Exchange-Traded Funds: Concepts and Contexts

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