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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
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    Citations

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    Cited by:

    1. 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.
    2. 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.
    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.

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