IDEAS home Printed from https://ideas.repec.org/a/pal/assmgt/v7y2006i1d10.1057_palgrave.jam.2240202.html
   My bibliography  Save this article

Pricing efficiency of exchange traded funds in Taiwan

Author

Listed:
  • Ching-Chung Lin

    (Kao Yuan University)

  • Shih-Ju Chan

    (Kao Yuan University)

  • Hsinan Hsu

    (Kao Yuan University)

Abstract

The first and to date the only Taiwanese exchange traded fund (ETF), the Taiwan Top 50 Tracker Fund (TTT), was introduced in June 2003 and used the Taiwan 50 Index as its benchmark asset, which includes the top 50 listed companies by total market capitalisation. This study introduces the characteristics and underlying index of the TTT. Empirical results indicate that the TTT is pricing efficient, and trading of the TTT produces almost identical returns to the Taiwan stock market. As the MSCI Emerging Markets Index covers Taiwan, international capital includes the Taiwan market in their global asset allocation. The TTT provides a convenient instrument replicating the performance of Taiwan stock market.

Suggested Citation

  • Ching-Chung Lin & Shih-Ju Chan & Hsinan Hsu, 2006. "Pricing efficiency of exchange traded funds in Taiwan," Journal of Asset Management, Palgrave Macmillan, vol. 7(1), pages 60-68, May.
    • Handle: RePEc:pal:assmgt:v:7:y:2006:i:1:d:10.1057_palgrave.jam.2240202
    DOI: 10.1057/palgrave.jam.2240202
    as

    Download full text from publisher

    File URL: http://link.springer.com/10.1057/palgrave.jam.2240202
    File Function: Abstract
    Download Restriction: Access to the full text of the articles in this series is restricted.
    File URL: https://libkey.io/10.1057/palgrave.jam.2240202?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. R. Shanmugham & Zabiulla, 2012. "Pricing Efficiency of Nifty BeES in Bullish and Bearish Markets," Global Business Review, International Management Institute, vol. 13(1), pages 109-121, February.
    2. Gordon Tang & Karen Wong, 2010. "A note on the intraday and intraweek patterns in premiums of exchange-traded funds: evidence from Hong Kong," Applied Economics Letters, Taylor & Francis Journals, vol. 17(8), pages 753-760.
    3. António Afonso & Pedro Cardoso, 2017. "Exchange-traded Funds as an Alternative Investment Option: a Case Study," Working Papers REM 2017/22, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:pal:assmgt:v:7:y:2006:i:1:d:10.1057_palgrave.jam.2240202. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.palgrave-journals.com/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.