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• W879860072 abstract "Abstract: The purpose of this study is to evaluate the performance and pricing efficiency of the exchange-traded funds (ETFs) operating in the Turkish Capital Markets. In this paper, we examine the tracking errors and pricing efficiencies of 16 ETFs during the period 2005-2013. This is the first paper that makes an investigation with covering all ETFs in Turkish Capital Markets. Using daily data, we find out that Turkish ETFs underperform their underlying indices. We use three different methods (arithmetic mean, absolute mean and quadratic tracking error) to measure the tracking errors and find that these errors are significantly different from zero. The pricing efficiencies of ETFs are computed using four different methods: premiums and discounts calculated in Turkish Liras (TL) and percentage and absolute values of these calculations. As a result of our analysis, we find that Turkish ETFs are priced closely to their net asset values and there exists no arbitrage opportunities in this context.Keywords: Exchange traded funds, tracking error, pricing efficiency, Borsa Istanbul.JEL Classification: G12, G23(ProQuest: ... denotes formulae omitted.)1. IntroductionIncreased mobility in today's financial markets, in parallel with the evolving demands of investors, has naturally boosted the search for new financial products. When we investigate the substantial developments during the past decade, ETFs are regarded as one of the important investment alternatives among such innovative products. This substantial development achieved by the ETFs that allow passive tracking of an index and daily trading is greatly associated with their advantages including relatively lower costs, as well as liquidity, flexibility and transparency compared to traditional mutual funds. It is observed that these funds are established based on the market-wide equity indices, sector indices and fixed-income indices. Moreover, as time passed such funds have diversified to include indices based on goods, currencies, precious metals, which also apply strategies such as replicating a short position in one index and a long position in another.The motivation of our study is twofold: First, although the global success of ETFs has arisen interest of researchers, the number of studies in emerging markets focused on ETFs is very limited. Our study dealing with Turkish ETFs contributes in filling this gap. Second, to the authors' best knowledge, this is the first paper that makes an investigation with covering all ETFs in Turkish Capital Markets.The remainder of this study is structured as follows: Section 2 introduces the ETFs and explains the development of ETFs. Section 3 reviews the literature. Section 4 describes the data and the research design implemented and presents the empirical results, respectively. The final section concludes the study and makes suggestions for future research.2. Definition and Function of Exchange Traded FundsETF is a type of mutual fund with a benchmark index which aims to reflect the performance of such index to investors. Three main reasons have played a role in the introduction of ETFs: (i) the increased investment activities as a result of the higher interest for capital markets and investment instruments for the past 30 years, (ii) the relation between the markets providing investors with an improved opportunity to access international markets and the need for products allowing market access at the end of this process and (iii) the evolving financial market dynamics due to the need of investors for increased savings, profitability and transparency as a result of increased liquidity and market effectiveness.ETFs have some advantages to the traditional mutual funds. Firstly, these funds provide investors with high liquidity because they are traded on stock exchanges. They are more flexible than open-end mutual funds as they can be traded throughout the day. This advantage also allows them to be more transparent. …" @default.
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• W879860072 date "2015-01-01" @default.
• W879860072 modified "2023-09-26" @default.
• W879860072 title "Tracking Ability and Pricing Efficiency of Exchange Traded Funds: Evidence from Borsa Istanbul*" @default.
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