Impact of Taiwan Top 50 ETF on the Liquidity of the Constituents of the Taiwan 50 Index

Ching-Chung Lin, Min-Hsien Chiang, Shih-Ju Chan and Chao-Hsien Lin
Additional contact information
Ching-Chung Lin: Department of Business Administration, Kao-Yuan University, Taiwan
Min-Hsien Chiang: Institute of International Business, National Cheng-Kung University, Taiwan
Shih-Ju Chan: Department of Business Administration, Kao-Yuan University, Taiwan
Chao-Hsien Lin: Department of Finance, Tainan Woman¡¦s College of Art & Technology, Taiwan

Journal of Economics and Management, 2006, vol. 2, issue 2, 187-205

Abstract: Taiwan Top 50 Tracker Fund (TTT) is the first Exchange Traded Fund (ETF) in Taiwan. This study investigates the impact of TTT on the liquidity of the constituent stocks. The empirical result coincides with the expectation of arbitrage hypothesis that the liquidity of the constituents is increased after the introduction of TTT. Although both changing patterns among categories of size and sector are not significantly different, most of the liquidity measures of smaller companies increase more than those of larger companies. The liquidity measures of electronic and financial sectors are increased, while the liquidity of mixed sector is decreased.

Keywords: ETF; liquidity; Taiwan 50 index (search for similar items in EconPapers)
JEL-codes: G11 G14 (search for similar items in EconPapers)
Date: 2006
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.jem.org.tw/content/pdf/Vol.2No.2/04.pdf (application/pdf)
http://www.jem.org.tw/content/abstract/Vol.2No.2/English/04.htm (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:jec:journl:v:2:y:2006:i:2:p:187-205

Access Statistics for this article

Journal of Economics and Management is currently edited by Cathy W. S. Chen and Shih-Wen Hu

More articles in Journal of Economics and Management from College of Business, Feng Chia University, Taiwan Contact information at EDIRC.
Bibliographic data for series maintained by Yi-Ju Su ().