Price discovery and informational efficiency of international iShares funds

Return and volatility spillovers in equity markets: An investigation using various GARCH methodologies

“…In doing so, the study contributes to prevalent notable research on country ETFs such as those by Khorana et al (1998), Tse and Martinez (2007), Hughen and Mathew (2007), and Levy and Lieberman (2013). The present paper differs from the above cited ones in that while they aimed at understanding price dynamics between ETFs and its underlying factors such as NAV, exchange rate, and country indices, we explore price and volatility dynamics amidst country ETFs.…”

“…ETFs have lately experienced tremendous growth became the preferred investment vehicles of global investors and hedge funds (Investor.vanguard.com, 2016). Khorana, Nellis, and Trester (1998) and Tse and Martinez (2007) investigate the returns on international ETFs and conclude that ETF returns closely track their respective country indices. Thus, country ETFs and broad based country markets indices are comparable.…”

Does the Law of One Price Hold for South African Exchange Traded Funds?

“…Cherry (2004) devised a similar trading strategy for three foreign ETFs and confirmed that this strategy earned excess returns of 15% per annum net of transaction costs, whilst simultaneously exposing the investor to less risk. In addition to this, Cherry (2004) found that ETFs exhibited greater volatility than the underlying index; a result confirmed by Tse and Martinez (2007) in examining only international ETFs listed in the U.S. Taken together these results suggest that the market for foreign ETFs listed on the U.S. market is inefficient, which Cherry (2004) attributes to investor irrationality, and suggests that investors in this market may be preoccupied with forecasting prices based on trends rather than fundamental value. Engle and Sarkar (2006) also examined domestic and foreign listed ETFs in the U.S. and confirmed that the price deviations for the domestic funds were generally small and disappeared rapidly, whilst for the foreign funds the deviations were considerably larger and persisted for several days.…”

(In)Efficiencies in Latin American ETFs

“…Madura and Richie, 2004;Tse and Martinez, 2007) 1 . Engle and Sakar (2006) provide a comparison between domestic (U.S.) ETFs and international ETFs.…”