Japan and Hong Kong exchange-traded funds (ETFs): Discounts, returns, and trading strategies

被引：0
|
作者：
Jares T.E. [1 ]
Lavin A.M. [2 ]
机构：
[1] Monfort College of Business, University of Northern Colorado
来源：
Journal of Financial Services Research | 2004年 / 25卷 / 1期
关键词：
Asynchronous trading; Foreign exchange-traded funds;
D O I：
10.1023/B:FINA.0000008665.55707.ab
中图分类号：
学科分类号：
摘要：
Foreign exchange-traded funds (ETFs) trade on U.S. exchanges but provide broad exposure to foreign markets. ETFs ore designed to minimize the deviation between price and value of the underlying securities. However, nonoverlapping trading hours between the United States and many foreign markets inhibit this mechanism. The data for Japan and Hong Kong iShares show that deviations exist between the ETF price and the value of the underlying securities. The deviations are positively related to subsequent ETF returns creating potential profit opportunities. A simple trading rule based on this observation produces impressive gross returns when compared to a buy-and-hold strategy.
引用
收藏
页码：57 / 69
页数：12
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