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Dergiler / İşletme ve Ekonomi Araştırmaları Dergisi / 2015 / Cilt: 6 - Sayı: 1

Tracking Ability and Pricing Efficiency of Exchange Traded Funds: Evidence from Borsa Istanbul

Serra Eren SARIOĞLU
Nazlı Kalfa BAŞ
Sayfa
19–33
Yayın Tarihi
2022-10-18
DOI
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⚡ TL;DR(1 Cümlede Hızlı Çıkarım)

As a result of our analysis, we find that Turkish ETFs are priced closely to their net asset values and there exists no arbitrage opportunities in this context

📌 3 Maddede Bu Makale

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Amaç & Hipotez:The purpose of this study is to evaluate the performance and pricing efficiency of the exchange-traded funds (ETFs) operating in the Turkish Capital Markets.
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Temel Bulgular & Veri:In this paper, we examine the tracking errors and pricing efficiencies of 16 ETFs during the period 2005-2013.
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Sonuç & Katkı:As a result of our analysis, we find that Turkish ETFs are priced closely to their net asset values and there exists no arbitrage opportunities in this context
🔬Tür:Araştırma Makalesi
📍Kapsam:2005-2013 Verileri
⚙️Değişkenler:Alan Parametreleri

Abstract

The purpose of this study is to evaluate the performance and pricing efficiency of the exchange-traded funds (ETFs) operating in the Turkish Capital Markets. In this paper, we examine the tracking errors and pricing efficiencies of 16 ETFs during the period 2005-2013. This is the first paper that makes an investigation with covering all ETFs in Turkish Capital Markets. Using daily data, we find out that Turkish ETFs underperform their underlying indices. We use three different methods (arithmetic mean, absolute mean and quadratic tracking error) to measure the tracking errors and find that these errors are significantly different from zero. The pricing efficiencies of ETFs are computed using four different methods: premiums and discounts calculated in Turkish Liras (TL) and percentage and absolute values of these calculations. As a result of our analysis, we find that Turkish ETFs are priced closely to their net asset values and there exists no arbitrage opportunities in this context

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Bu Makaleye Atıf Yap

SARIOĞLU, S. E., BAŞ, N. K. (2022). Tracking Ability and Pricing Efficiency of Exchange Traded Funds: Evidence from Borsa Istanbul. İşletme ve Ekonomi Araştırmaları Dergisi, Cilt: 6 - Sayı: 1, 19–33. https://ajindex.com/articles/556574

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Kaynakça (18)

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