Please use this identifier to cite or link to this item: http://hdl.handle.net/10397/16127
Title: China's exchange traded fund : is there a trading place bias?
Authors: Cheng, LTW 
Fung, HG
Tse, Y
Keywords: China market
EGARCH model
Exchange traded funds
Granger causality tests
Issue Date: 2008
Source: Review of Pacific basin financial markets and policies, 2008, v. 11, no. 1, p. 61-74 How to cite?
Journal: Review of Pacific Basin Financial Markets and Policies 
Abstract: We use Granger causality tests and an EGARCH model to analyze the pricing relations in the US between two exchange traded funds, the iShares FTSE/Xinhua China 25 Index (FXI) and the S&P 500 Index Fund (IVV). Daily data indicates that Hong Kong home market basically drives the FXI returns in the US. In case of intraday analysis, the US-based IVV appears to dominate the pricing of the FXI. The evidence supports the speculative pricing hypothesis that the location of trading has stronger effects than the influence of domestic effects summarized by FXI's lagged returns.
URI: http://hdl.handle.net/10397/16127
ISSN: 0219-0915
DOI: 10.1142/S021909150800126X
Appears in Collections:Journal/Magazine Article

Access
View full-text via PolyU eLinks SFX Query
Show full item record

SCOPUSTM   
Citations

9
Last Week
0
Last month
1
Citations as of Aug 19, 2017

Page view(s)

43
Last Week
5
Last month
Checked on Aug 21, 2017

Google ScholarTM

Check

Altmetric



Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.