Performance Dynamics of International Exchange-Traded Funds

Stephen Bahadar, Christopher Gan and Cuong Nguyen
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Stephen Bahadar: Department of Financial and Business Systems, Lincoln University, 21 Ellesmere Junction Road, Lincoln, Christchurch 7674, New Zealand
Christopher Gan: Department of Financial and Business Systems, Lincoln University, 21 Ellesmere Junction Road, Lincoln, Christchurch 7674, New Zealand
Cuong Nguyen: Department of Financial and Business Systems, Lincoln University, 21 Ellesmere Junction Road, Lincoln, Christchurch 7674, New Zealand

JRFM, 2020, vol. 13, issue 8, 1-14

Abstract: Asynchronous trading hours between the markets of Exchange-Traded Funds (ETFs) and their benchmarks not only make it difficult to apply a full replication strategy but also make the creation/redemption process ineffective and consequently distress the performance of international ETFs. Despite the exponential growth of the ETF industry in general and international ETFs in particular, the performance of international ETFs is under-researched. Therefore, this study evaluates the performance of US-listed international ETFs by analyzing the returns, volatilities, tracking ability and pricing efficiency. The study findings are useful for investors interested in understanding the performance dynamics of international ETFs.

Keywords: ETFs; return and volatility; tracking error; premium and discount (search for similar items in EconPapers)
JEL-codes: C E F2 F3 G (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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