The Performance of the Australian Equity ETFs

Gerasimos G. Rompotis
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Gerasimos G. Rompotis: Department of Economics, National and Kapodistrian University of Athens, Athens, Greece

Financial Economics Letters, 2024, vol. 3, issue 4, 65-79

Abstract: The performance of the equity Australian Exchange Traded Funds (ETFs) over the five-year period 2019-2023 is examined in this study. The empirical results show that, on average, the return of the examined ETFs has been positive over the study period. In addition, the ETFs has beaten, in raw return terms, the S&P/ASX 200 Index, which is a proxy for the entire stock market in Australia, in three out of five years during the study period. However, these ETFs have not achieved any statistically significant alpha against the market benchmark. Moreover, the results of a cross-sectional regression model show that performance is negatively related to the age of ETFs but positively to their size. Finally, when it comes to persistence, the empirical findings indicate that in most of the cases performance reverts from one year to another.

Keywords: ETFs; Performance; Risk-Adjusted Return; Australian Stock Market (search for similar items in EconPapers)
Date: 2024
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