Advanced Search
MyIDEAS: Login to save this article or follow this journal

Pricing Efficiency of China's Exchange-Traded Fund Market

Contents:

Author Info

  • Yuexiang Jiang
  • Feng Guo
  • Tianjian Lan
Registered author(s):

    Abstract

    This study investigates the pricing efficiency of the Shanghai 50 ETF (SSE 50 ETF), the first exchange-traded fund (ETF) in China. The empirical results demonstrate that ETF market prices and net asset values (NAV) are cointegrated and there is unidirectional causality from price to NAV. The conditional variance dynamics from the augmented Generated AutoRegressive Conditional Heteroskedasticity (GARCH) framework show that ETF market prices influence NAV volatility and therefore can be used as price-discovery vehicles. The study also finds that the fund's prices did not closely follow the NAV during the second half of 2007, when the Chinese stock market experienced substantial volatility, reflecting sudden increased market risks as well as potential arbitrage opportunities during financial turbulences.

    Download Info

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
    File URL: http://mesharpe.metapress.com/link.asp?target=contribution&id=HT5G683885261700
    Download Restriction: Access to full text is restricted to subscribers.

    As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

    Bibliographic Info

    Article provided by M.E. Sharpe, Inc. in its journal Chinese Economy.

    Volume (Year): 43 (2010)
    Issue (Month): 5 (January)
    Pages: 32-49

    as in new window
    Handle: RePEc:mes:chinec:v:43:y:2010:i:5:p:32-49

    Contact details of provider:
    Web page: http://mesharpe.metapress.com/link.asp?target=journal&id=110901

    Related research

    Keywords:

    References

    No references listed on IDEAS
    You can help add them by filling out this form.

    Citations

    Lists

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    Statistics

    Access and download statistics

    Corrections

    When requesting a correction, please mention this item's handle: RePEc:mes:chinec:v:43:y:2010:i:5:p:32-49. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Chris Nguyen).

    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.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with 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 profile, as there may be some citations waiting for confirmation.

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