Analyzing the market - mapping quality analysis of WIG20 by the Exchange Traded Fund, the first fun on the Polish market (Sledzac parkiet - analiza jakosci odwzorowania indeksu WIG20 przez pierwszy na polskim rynku fundusz Exchange Traded Fund (ETF))

Patrycja Chodnicka () and Piotr Jaworski ()
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Patrycja Chodnicka: Katedra Systemow Finansowych Gospodarki, Wydzial Zarzadzania Uniwersytetu Warszawskiego
Piotr Jaworski: Wydzial Zarzadzania, Uniwersytet Warszawski

Problemy Zarzadzania, 2012, vol. 10, issue 39, 198-205

Abstract: The basic goal of this article is the analysis of Exchange Traded Fund market in Poland. After making researches of world literature about the above - mentioned phenomenon, some hypothesis were revised. The linear regression of Jensen model was used for comparison the value of above the average rate of return on the only one ETF for WIG20 index which is traded on the Warsaw Stock Exchange with those received on the index. On its results it was concluded that ETF does not provide any positive excess returns over its benchmark. Lack of market timing skills was showed on the basis of model proposed by Treynor and Mazuy. Tracking errors estimate for ETF and WIG20 were presented with usage of three methods. The first was standard error of Jensen model, another average of absolute value of the difference between return of ETF and WIG20. Both of them showed similar results as for ETFs from NYSE. The last method used to assess effectiveness of replication the benchmark was average absolute value of deviation ETF from WIG20. Obtained applications indicate the existing but imperfect imitation of the index by the analyzed fund, promoting the authors to analyze them and indicate the directions of practical use.

Date: 2012
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