The Performance and Pricing Efficiency of China ETFs

Tsui, King Lun (2012) The Performance and Pricing Efficiency of China ETFs. [Dissertation (University of Nottingham only)] (Unpublished)

[img] PDF - Registered users only - Requires a PDF viewer such as GSview, Xpdf or Adobe Acrobat Reader
Download (1MB)


In this paper, we examine the performance, pricing efficiency and the tracking ability of twenty five exchange-traded funds (ETFs) listed in both Shenzhen and Shanghai Stock Exchange during the period of Jun – 2011 and Jun – 2012. We used three performance measures: the raw return, the Sharpe ration and the Sortino ratio. Then we further calculated the premium and discount frequency and the tracking error. Our results indicate that the ETFs in China, on average, provide a slightly better return than their corresponding benchmarks when costs are not taken into consideration. Moreover, we found the ETFs in China are traded at a discount more than 55% of the time which contradicts to the findings in other developed countries. On average, ETFs in China tracks their benchmark very closely inferring the efficiency in the creation and redemption of ETF shares. We further examined the factors that affect the tracking error and, somehow, discovered contradicting results from our regression analysis. However, we find that the corresponding benchmark‘s volatility is statistically and significantly related to the tracking errors.

Item Type: Dissertation (University of Nottingham only)
Depositing User: EP, Services
Date Deposited: 08 Apr 2013 11:50
Last Modified: 17 Oct 2017 17:44

Actions (Archive Staff Only)

Edit View Edit View