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Japan and Hong Kong Exchange-Traded Funds (ETFs): Discounts, Returns, and Trading Strategies

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  • Timothy Jares
  • Angeline Lavin

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  • Timothy Jares & Angeline Lavin, 2004. "Japan and Hong Kong Exchange-Traded Funds (ETFs): Discounts, Returns, and Trading Strategies," Journal of Financial Services Research, Springer;Western Finance Association, vol. 25(1), pages 57-69, February.
    • Handle: RePEc:kap:jfsres:v:25:y:2004:i:1:p:57-69
    DOI: 10.1023/B:FINA.0000008665.55707.ab
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    References listed on IDEAS

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    1. De Bondt, Werner F M & Thaler, Richard, 1985. "Does the Stock Market Overreact?," Journal of Finance, American Finance Association, vol. 40(3), pages 793-805, July.
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    Cited by:

    1. Damien Kunjal & Faeezah Peerbhai & Paul-Francois Muzindutsi, 2021. "The performance of South African exchange traded funds under changing market conditions," Journal of Asset Management, Palgrave Macmillan, vol. 22(5), pages 350-359, September.
    2. Chen, Mei-Ping & Lee, Chien-Chiang & Hsu, Yi-Chung, 2017. "Investor sentiment and country exchange traded funds: Does economic freedom matter?," The North American Journal of Economics and Finance, Elsevier, vol. 42(C), pages 285-299.
    3. Stewart, Shamar L. & Massa, Olga Isengildina & Hassman, Colburn & Leon, Maximo de, 2023. "ETP tracking of U.S. agricultural and energy markets," Journal of Commodity Markets, Elsevier, vol. 31(C).
    4. Gregor Dorfleitner & Anna Gerl & Johannes Gerer, 2018. "The pricing efficiency of exchange-traded commodities," Review of Managerial Science, Springer, vol. 12(1), pages 255-284, January.
    5. S. Narend & M. Thenmozhi, 2019. "Do Country ETFs Influence Foreign Stock Market Index? Evidence from India ETFs," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 18(1_suppl), pages 59-86, April.
    6. Levy, Ariel & Lieberman, Offer, 2013. "Overreaction of country ETFs to US market returns: Intraday vs. daily horizons and the role of synchronized trading," Journal of Banking & Finance, Elsevier, vol. 37(5), pages 1412-1421.
    7. Jack W Aber & Dan Li & Luc Can, 2009. "Price volatility and tracking ability of ETFs," Journal of Asset Management, Palgrave Macmillan, vol. 10(4), pages 210-221, October.
    8. Devmali Perera & Jędrzej Białkowski & Martin T. Bohl, 2022. "Is the Tracking Error Time-Varying? Evidence from Agricultural ETCs," Working Papers in Economics 22/13, University of Canterbury, Department of Economics and Finance.
    9. 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.
    10. Jagjeev Dosanjh, 2017. "Exchange Initiatives and Market Efficiency: Evidence from the Australian Securities Exchange," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1-2017.
    11. Shaen Corbet & Cian Twomey, 2014. "Have Exchange Traded Funds Influenced Commodity Market Volatility?," International Journal of Economics and Financial Issues, Econjournals, vol. 4(2), pages 323-335.
    12. Aakanksha Sethi & Vanita Tripathi, 2022. "Excess Volatility and Costly Arbitrage in Exchange Traded Funds (ETFs): Evidence from India," Global Business Review, International Management Institute, vol. 23(2), pages 334-353, April.
    13. Gerasimos G Rompotis, 2010. "Investing overseas from home: The case of Asian iShares," Journal of Asset Management, Palgrave Macmillan, vol. 11(1), pages 1-18, April.
    14. Alexakis, Christos & Dasilas, Apostolos & Grose, Chris, 2013. "Asymmetric dynamic relations between stock prices and mutual fund units in Japan. An application of hidden cointegration technique," International Review of Financial Analysis, Elsevier, vol. 28(C), pages 1-8.
    15. repec:uts:finphd:34 is not listed on IDEAS
    16. Kallinterakis, Vasileios & Liu, Fei & Pantelous, Athanasios A. & Shao, Jia, 2020. "Pricing inefficiencies and feedback trading: Evidence from country ETFs," International Review of Financial Analysis, Elsevier, vol. 70(C).
    17. Perera, Devmali & Białkowski, Jędrzej & Bohl, Martin T., 2022. "Is the tracking error time-varying? Evidence from agricultural ETCs," Research in International Business and Finance, Elsevier, vol. 63(C).
    18. Charteris, Ailie & Chau, Frankie & Gavriilidis, Konstantinos & Kallinterakis, Vasileios, 2014. "Premiums, discounts and feedback trading: Evidence from emerging markets' ETFs," International Review of Financial Analysis, Elsevier, vol. 35(C), pages 80-89.
    19. Valeria Martinez & Yiuman Tse & Jullavut Kittiakarasakun, 2013. "Volatility, trade size, and order imbalance in China and Japan exchange traded funds," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 37(2), pages 293-307, April.
    20. Gerasimos Georgiou Rompotis, 2010. "Does premium impact Exchange-Traded Funds’ returns? Evidence from iShares," Journal of Asset Management, Palgrave Macmillan, vol. 11(4), pages 298-308, October.
    21. Kalotychou, Elena & Staikouras, Sotiris K. & Zhao, Gang, 2014. "The role of correlation dynamics in sector allocation," Journal of Banking & Finance, Elsevier, vol. 48(C), pages 1-12.
    22. Imtiaz Mazumder, M. & Chu, Ting-Heng & Miller, Edward M. & Prather, Larry J., 2008. "International day-of-the-week effects: An empirical examination of iShares," International Review of Financial Analysis, Elsevier, vol. 17(4), pages 699-715, September.
    23. Mikica Drenovak & Branko Urošević & Ranko Jelic, 2014. "European Bond ETFs: Tracking Errors and the Sovereign Debt Crisis," European Financial Management, European Financial Management Association, vol. 20(5), pages 958-994, November.

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