China's exchange traded fund: Is there a trading place bias?

Tsz Wan Cheng, Hung Gay Fung, Yiuman Tse

Research output: Journal article publicationJournal articleAcademic researchpeer-review

9 Citations (Scopus)

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. and Center for Pacific Basin Business, Economics and Finance Research.
Original languageEnglish
Pages (from-to)61-74
Number of pages14
JournalReview of Pacific Basin Financial Markets and Policies
Volume11
Issue number1
DOIs
Publication statusPublished - 1 Mar 2008

Keywords

  • China market
  • EGARCH model
  • Exchange traded funds
  • Granger causality tests

ASJC Scopus subject areas

  • Finance
  • Economics and Econometrics

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