The Research on Tracking Errors of Taiwan and Hong Kong's Tracking CSI 300 Index ETFs
Date Issued
2014
Date
2014
Author(s)
Chen, Chih-Wei
Abstract
This article estimates tracking errors of 10 exchange traded funds (ETFs) listed on Taiwan Stock Exchange and Hong Kong Stock Exchange. All of the 10 ETFs are tracking CSI 300 Index. The results indicate that tracking errors of ETFs in Taiwan and Hong Kong are significantly different from zero at 1% significant level. The monthly average tracking error of ETFs in Taiwan is 2.3898% which is significantly different from 4.1225% in Hong Kong. To analyze the determinants associated with tracking errors, this article runs a multiple regression on 6 ETFs in the recent 30 months. The results show that replicate strategy, fee, volume, and variation of exchange rate are significantly associated with tracking error.
Subjects
Exchange traded funds
Tracking error
CSI 300 Index
Multiple regression
Type
thesis