English, Article edition: China's Exchange Traded Fund: Is There a Trading Place Bias? Louis T. W. Cheng; Hung-Gay Fung; Yiuman Tse

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Physical Description
  • article
Language
  • English

Edition details

Title
  • China's Exchange Traded Fund: Is There a Trading Place Bias?
Author
  • Louis T. W. Cheng
  • Hung-Gay Fung
  • Yiuman Tse
Physical Description
  • article
Notes
  • 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.
  • Exchange traded funds, China market, Granger causality tests, EGARCH model, JEL Classification: F21, JEL Classification: F36, JEL Classification: G15
  • RePEc:wsi:rpbfmp:v:11:y:2008:i:01:p:61-74
Language
  • English
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