Preprint Article Version 1 NOT YET PEER-REVIEWED

Tracking errors and their determinants: Evidence from Hong Kong exchange traded funds

  1. University of Macau
Version 1 : Received: 29 July 2016 / Approved: 29 July 2016 / Online: 29 July 2016 (12:39:32 CEST)

How to cite: Chu, P. Tracking errors and their determinants: Evidence from Hong Kong exchange traded funds. Preprints 2016, 2016070094 (doi: 10.20944/preprints201607.0094.v1). Chu, P. Tracking errors and their determinants: Evidence from Hong Kong exchange traded funds. Preprints 2016, 2016070094 (doi: 10.20944/preprints201607.0094.v1).

Abstract

This paper uses panel data to find the determinants of tracking errors in exchange traded funds (ETFs) in the Hong Kong stock market. A comparison of tracking errors between physical and synthetic ETFs also indicates that the synthetic ETFs have higher tracking errors. The magnitude of tracking errors is found to be negatively related to size but positively related to dividend yield, trading volumes of funds, and market risk. However, this study also finds that expense ratio has a negative impact on tracking error, which is not consistent with previous studies, and which this paper addresses.

Subject Areas

Exchange traded funds, ETFs, tracking error, panel regression model, fixed effects estimation

Readers' Comments and Ratings (0)

Discuss and rate this article
Views 129
Downloads 244
Comments 0
Metrics 0
Discuss and rate this article

×
Alerts
Notify me about updates to this article or when a peer-reviewed version is published.