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Impact of Taiwan Top 50 ETF on the Liquidity of the Constituents of the Taiwan 50 Index

Author

Listed:
  • Ching-Chung Lin

    (Department of Business Administration, Kao-Yuan University, Taiwan)

  • Min-Hsien Chiang

    (Institute of International Business, National Cheng-Kung University, Taiwan)

  • Shih-Ju Chan

    (Department of Business Administration, Kao-Yuan University, Taiwan)

  • Chao-Hsien Lin

    (Department of Finance, Tainan Woman¡¦s College of Art & Technology, Taiwan)

Abstract

Taiwan Top 50 Tracker Fund (TTT) is the first Exchange Traded Fund (ETF) in Taiwan. This study investigates the impact of TTT on the liquidity of the constituent stocks. The empirical result coincides with the expectation of arbitrage hypothesis that the liquidity of the constituents is increased after the introduction of TTT. Although both changing patterns among categories of size and sector are not significantly different, most of the liquidity measures of smaller companies increase more than those of larger companies. The liquidity measures of electronic and financial sectors are increased, while the liquidity of mixed sector is decreased.

Suggested Citation

  • Ching-Chung Lin & Min-Hsien Chiang & Shih-Ju Chan & Chao-Hsien Lin, 2006. "Impact of Taiwan Top 50 ETF on the Liquidity of the Constituents of the Taiwan 50 Index," Journal of Economics and Management, College of Business, Feng Chia University, Taiwan, vol. 2(2), pages 187-205, July.
    • Handle: RePEc:jec:journl:v:2:y:2006:i:2:p:187-205
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    More about this item

    Keywords

    ETF; liquidity; Taiwan 50 index;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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