Evaluating the performance of exchange traded funds in the emerging markets

Lo Ka Kuen Kenneth; Kin Keung Lai; Kaijian He

doi:10.1109/BIFE.2013.75

Evaluating the performance of exchange traded funds in the emerging markets

Lo Ka Kuen Kenneth
, Kin Keung Lai
, Kaijian He

Research output: Chapters, Conference Papers, Creative and Literary Works › RGC 32 - Refereed conference paper (with host publication) › peer-review

Abstract

Facing the increasing level of fluctuations and risks in the financial markets, investors are increasingly shifting towards more conservative investment techniques. Exchange Traded Funds has emerged in recent years as an important alternative. This paper conducts the empirical studies on the performance of ETF across different emerging markets. We find that the performance of ETFs are inferior to the underlying indexes in general. Their performance are also sensitive to the ETF characteristics, among which geographical locations and economic development are identified as important influential factors.

Original language	English
Title of host publication	Proceedings - 2013 6th International Conference on Business Intelligence and Financial Engineering, BIFE 2013
Publisher	IEEE
Pages	359-363
ISBN (Print)	9781479947775
DOIs	https://doi.org/10.1109/BIFE.2013.75
Publication status	Published - 18 Nov 2014
Event	6th International Conference on Business Intelligence and Financial Engineering, BIFE 2013 - Hangzhou, Zhejiang, China Duration: 14 Nov 2013 → 16 Nov 2013

Conference

Conference	6th International Conference on Business Intelligence and Financial Engineering, BIFE 2013
Place	China
City	Hangzhou, Zhejiang
Period	14/11/13 → 16/11/13

Research Keywords

Exchange Traded Funds
Risk Adjusted Return
Sharpe Ratio
Standard Deviation

Access Output

10.1109/BIFE.2013.75

Other Access Options

Check CityUHK Library

Permanent Link

Right click to copy link

Cite this

@inproceedings{29223f1bf7014eadb57ced786f0edd10,

title = "Evaluating the performance of exchange traded funds in the emerging markets",

abstract = "Facing the increasing level of fluctuations and risks in the financial markets, investors are increasingly shifting towards more conservative investment techniques. Exchange Traded Funds has emerged in recent years as an important alternative. This paper conducts the empirical studies on the performance of ETF across different emerging markets. We find that the performance of ETFs are inferior to the underlying indexes in general. Their performance are also sensitive to the ETF characteristics, among which geographical locations and economic development are identified as important influential factors.",

keywords = "Exchange Traded Funds, Risk Adjusted Return, Sharpe Ratio, Standard Deviation",

author = "Kenneth, \{Lo Ka Kuen\} and Lai, \{Kin Keung\} and Kaijian He",

year = "2014",

month = nov,

day = "18",

doi = "10.1109/BIFE.2013.75",

language = "English",

isbn = "9781479947775",

pages = "359--363",

booktitle = "Proceedings - 2013 6th International Conference on Business Intelligence and Financial Engineering, BIFE 2013",

publisher = "IEEE",

address = "United States",

note = "6th International Conference on Business Intelligence and Financial Engineering, BIFE 2013 ; Conference date: 14-11-2013 Through 16-11-2013",

}

Kenneth, LKK, Lai, KK & He, K 2014, Evaluating the performance of exchange traded funds in the emerging markets. in Proceedings - 2013 6th International Conference on Business Intelligence and Financial Engineering, BIFE 2013., 6961155, IEEE, pp. 359-363, 6th International Conference on Business Intelligence and Financial Engineering, BIFE 2013, Hangzhou, Zhejiang, China, 14/11/13. https://doi.org/10.1109/BIFE.2013.75

Evaluating the performance of exchange traded funds in the emerging markets. / Kenneth, Lo Ka Kuen; Lai, Kin Keung; He, Kaijian.
Proceedings - 2013 6th International Conference on Business Intelligence and Financial Engineering, BIFE 2013. IEEE, 2014. p. 359-363 6961155.

Research output: Chapters, Conference Papers, Creative and Literary Works › RGC 32 - Refereed conference paper (with host publication) › peer-review

TY - GEN

T1 - Evaluating the performance of exchange traded funds in the emerging markets

AU - Kenneth, Lo Ka Kuen

AU - Lai, Kin Keung

AU - He, Kaijian

PY - 2014/11/18

Y1 - 2014/11/18

N2 - Facing the increasing level of fluctuations and risks in the financial markets, investors are increasingly shifting towards more conservative investment techniques. Exchange Traded Funds has emerged in recent years as an important alternative. This paper conducts the empirical studies on the performance of ETF across different emerging markets. We find that the performance of ETFs are inferior to the underlying indexes in general. Their performance are also sensitive to the ETF characteristics, among which geographical locations and economic development are identified as important influential factors.

AB - Facing the increasing level of fluctuations and risks in the financial markets, investors are increasingly shifting towards more conservative investment techniques. Exchange Traded Funds has emerged in recent years as an important alternative. This paper conducts the empirical studies on the performance of ETF across different emerging markets. We find that the performance of ETFs are inferior to the underlying indexes in general. Their performance are also sensitive to the ETF characteristics, among which geographical locations and economic development are identified as important influential factors.

KW - Exchange Traded Funds

KW - Risk Adjusted Return

KW - Sharpe Ratio

KW - Standard Deviation

UR - https://www.scopus.com/pages/publications/84917736487

UR - https://www.scopus.com/record/pubmetrics.uri?eid=2-s2.0-84917736487&origin=recordpage

U2 - 10.1109/BIFE.2013.75

DO - 10.1109/BIFE.2013.75

M3 - RGC 32 - Refereed conference paper (with host publication)

SN - 9781479947775

SP - 359

EP - 363

BT - Proceedings - 2013 6th International Conference on Business Intelligence and Financial Engineering, BIFE 2013

PB - IEEE

T2 - 6th International Conference on Business Intelligence and Financial Engineering, BIFE 2013

Y2 - 14 November 2013 through 16 November 2013

ER -

Evaluating the performance of exchange traded funds in the emerging markets

Abstract

Conference

Research Keywords

Access Output

Other Access Options

Permanent Link

Other Files and Links

Fingerprint

Cite this