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dc.contributor.advisorChen, Jun
dc.contributor.advisorFrijns, Bart
dc.contributor.authorChen, Yi
dc.date.accessioned2015-11-26T01:45:42Z
dc.date.available2015-11-26T01:45:42Z
dc.date.copyright2015
dc.date.created2015
dc.identifier.urihttp://hdl.handle.net/10292/9279
dc.description.abstractThis study examines the performance of the New Zealand Exchange Traded Funds (hereafter ETFs), especially focusing on how well the ETFs’ returns can replicate those of their underlying stock indexes. The results show that, on average, there does exist a significant tracking error between the New Zealand ETFs and the corresponding indexes. Furthermore, we find that the tracking error increases with three properties, including management fees ratio (MFR), ETF return-risk (ERR), and daily volatility (Dvolatility). Meanwhile, the tracking error decreases with an increase in the liquidity of these ETF markets, measured by trading volume (Lvolume). This study also contributes new evidence to the literature on the liquidity of the New Zealand ETFs, which are driving by the factors such as the previous and contemporaneous numbers of ETFs sold on the market. Therefore, our findings provide important implication of how to strengthen New Zealand ETFs as a perfect substitution of the specific indexes preferred by local New Zealand investors, for example, making New Zealand ETF markets more liquid.en_NZ
dc.language.isoenen_NZ
dc.publisherAuckland University of Technology
dc.subjectExchanged Traded Fundsen_NZ
dc.subjectIndexen_NZ
dc.titlePerformance of New Zealand Exchange Traded Fundsen_NZ
dc.typeDissertation
thesis.degree.grantorAuckland University of Technology
thesis.degree.grantorAuckland University of Technology
thesis.degree.levelMasters Dissertations
thesis.degree.nameMaster of Businessen_NZ
thesis.degree.discipline
dc.rights.accessrightsOpenAccess
dc.date.updated2015-11-25T22:45:52Z


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