IDEAS home Printed from https://ideas.repec.org/a/taf/applec/v54y2022i47p5476-5496.html
   My bibliography  Save this article

Price discovery in emerging market ETFs

Author

Listed:
  • Yigit Atilgan
  • K. Ozgur Demirtas
  • A. Doruk Gunaydin
  • Mustafa Oztekin

Abstract

This study investigates the price discovery role of exchange-traded funds (ETFs) by examining the predictive relation between the returns of emerging market ETFs traded in the US and the returns to the aggregate equity indices that they track. In a sample that covers 18 countries, we find that ETF returns can predict one-day-ahead returns of their underlying indices. This relation is robust after controlling for the non-synchronicity between markets, serial correlation in index returns, and various determinants of aggregate returns. Moreover, the predictive relation is more pronounced during periods of higher volatility and evidence for bidirectional spillover effects is weak. We also find that an out-of-sample rolling window strategy outperforms investing in the market index several-fold in the majority of the markets, especially in the high-volatility subsample.

Suggested Citation

  • Yigit Atilgan & K. Ozgur Demirtas & A. Doruk Gunaydin & Mustafa Oztekin, 2022. "Price discovery in emerging market ETFs," Applied Economics, Taylor & Francis Journals, vol. 54(47), pages 5476-5496, October.
    • Handle: RePEc:taf:applec:v:54:y:2022:i:47:p:5476-5496
    DOI: 10.1080/00036846.2022.2047596
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/00036846.2022.2047596
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/00036846.2022.2047596?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.

    More about this item

    Statistics

    Access and download statistics

    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:taf:applec:v:54:y:2022:i:47:p:5476-5496. 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: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/RAEC20 .

    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.