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

Edson Kambeu
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Edson Kambeu: Business Management, BAISAGO University, Francistown, Botswana

International Journal of Finance & Banking Studies, 2017, vol. 6, issue 1, 141-148

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.

Keywords: Price discovery; Exchange Traded Funds; stock exchange (search for similar items in EconPapers)
Date: 2017
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