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Title: China's exchange traded fund : is there a trading place bias?
Authors: Cheng, LTW 
Fung, HG
Tse, Y
Issue Date: 2008
Source: Review of Pacific basin financial markets and policies, 2008, v. 11, no. 1, p. 61-74
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.
Keywords: China market
EGARCH model
Exchange traded funds
Granger causality tests
Journal: Review of Pacific Basin Financial Markets and Policies 
ISSN: 0219-0915
DOI: 10.1142/S021909150800126X
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