Relative efficiency of equity ETFs: an adaptive market hypothesis perspective

Saha, Kunal; Madhavan, Vinodh; Chandrashekhar, G. R.

doi:10.1080/13504851.2020.1804045

Cited by 4 publications

(2 citation statements)

References 21 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…Emerging markets ETFs as financial products, face various obstacles such as lack of liquidity (Atanasova & Weisskopf, 2020), higher tracking errors (Joshi & Dash, 2022), availability of limited product types (Saha et al, 2020), difficulty in price discovery (Atilgan et al, 2022), limited market makers (Jaiswal & Singh, 2022). Despite these difficulties, in the recent years, there has been a lot of interest by retail and institutional investors in ETFs.…”

Section: Literature Reviewmentioning

confidence: 99%

Analysis of Active Vs Passive Investment Behavior in Emerging Markets

Joshi,

Dash

2023

Management

View full text Add to dashboard Cite

Responses from 480 Indian respondents, 240 each investing in Mutual Funds and Exchange Traded Funds were studied to assess individual investors behavioral biases with the help of factors of herding, market, prospect, overconfidence and availability bias by using one way MANOVA approach. Results indicate that the Mutual Fund (active investment) investors show significantly higher behavioral biases as compared to Exchange Traded Fund (passive investment) investors in emerging markets. Behavioral biases effect on investments has been extensively studied on individual products, but this article is the first attempt to make comparative analysis of behavioral biases on active and passive investments. Behavioral biases have received little attention in the developing markets and results of this paper have practical implications for policymakers in understanding the dynamic behavior of the active and passive investors and educate the investors for proper investment decisions.

show abstract

Section: Literature Reviewmentioning

confidence: 99%

Analysis of Active Vs Passive Investment Behavior in Emerging Markets

Joshi,

Dash

2023

Management

View full text Add to dashboard Cite

show abstract

“…Studies that examine ETF efficiency in the context of Efficient Market Hypothesis usually employ traditional econometric methodologies such as regression and cointegration (Xu et al 2017(Xu et al , 2019Huang et al 2021). However, irregularities such as long memory, self-similarity and other non-linear phenomenon have also been reported in financial time series data of ETFs and equity indices (Zhu and Bao 2019;Saha et al 2020;Caporale et al 2020).…”

Section: Introductionmentioning

confidence: 99%

Effect of COVID-19 on ETF and index efficiency: evidence from an entropy-based analysis

2022

Self Cite

View full text Add to dashboard Cite

We examine the informational efficiency of domestic equity ETFs vis-a-vis their underlying market indices during the COVID-19 pandemic. To do so, we employ a multiscale entropy-based methodology. Our findings indicate that the informational efficiency of all ETFs as well as the indices fall sharply during the COVID induced market crash in February-March 2020. Having said so, we find disproportionate deterioration in market efficiency of ETFs and indices pertaining to USA and Canada as compared to those of China, Hong Kong and Taiwan. Interestingly, ETFs and indices pertaining to certain developed markets were found to be less efficient than their emerging market counterparts even during the pre-covid timeline. Lastly, there is a discernible difference between the efficiency of ETFs vis-a-vis their underlying indices. These findings should nudge investors to exercise caution while dealing with ETFs, for domestic ETFs do not exactly mimic the dynamics of their underlying indices.

show abstract