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The role of Exchange Traded Funds in the price discovery process of stocks listed on the Botswana Stock Exchange

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  • Edson Kambeu

    (Business Management, BAISAGO University, Francistown, Botswana)

Abstract

In this paper we analysethe role of Exchange Traded Funds (ETFs) in the price discovery process of stocks listed at the Botswana Stock Exchange.Using dailyreturnsdata covering the period 3 January 2013 to 31 December 2015 for Beta Betta ETF and Domestic Company Indices, we utilize a VECM model to find out whether the Betta Beta ETF is playing a significant role in the price discovery process of stocks listed on the Botswana Stock Exchange. We found the error correction term to be statistically significant thereby confirming that the Beta Betta ETFis playing a significant role in the price discovery of stocks listed on the Botswana Stock Exchange.

Suggested Citation

  • Edson Kambeu, 2017. "The role of Exchange Traded Funds in the price discovery process of stocks listed on the Botswana Stock Exchange," International Journal of Finance & Banking Studies, Center for the Strategic Studies in Business and Finance, vol. 6(1), pages 141-148, January.
    • Handle: RePEc:rbs:ijfbss:v:6:y:2017:i:1:p:141-148
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    References listed on IDEAS

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    1. Laurent Deville, 2008. "Exchange Traded Funds: History, Trading, and Research," Springer Optimization and Its Applications, in: Constantin Zopounidis & Michael Doumpos & Panos M. Pardalos (ed.), Handbook of Financial Engineering, pages 67-98, Springer.
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