TY - JOUR
T1 - A note on the intraday and intraweek patterns in premiums of exchange-traded funds
T2 - Evidence from Hong Kong
AU - TANG, Gordon Y N
AU - Wong, Karen H.Y.
N1 - Copyright:
Copyright 2010 Elsevier B.V., All rights reserved.
PY - 2010/6
Y1 - 2010/6
N2 - The Tracker Fund of Hong Kong, the first launched exchange-traded fund in Asia except Japan, aims to track the performance of the Hang Seng Index. This article examines the fund's characteristic via investigating the intraday and intraweek patterns of the fund's premiums. Empirical results suggest that no such patterns exist on the mean premium. However, a weak intraweek pattern is found for the volatility of premium and the number of transactions. Furthermore, for all measures except the mean premium, we find that a significant intraday pattern with a double-U shape or a W-shape exists.
AB - The Tracker Fund of Hong Kong, the first launched exchange-traded fund in Asia except Japan, aims to track the performance of the Hang Seng Index. This article examines the fund's characteristic via investigating the intraday and intraweek patterns of the fund's premiums. Empirical results suggest that no such patterns exist on the mean premium. However, a weak intraweek pattern is found for the volatility of premium and the number of transactions. Furthermore, for all measures except the mean premium, we find that a significant intraday pattern with a double-U shape or a W-shape exists.
UR - http://www.scopus.com/inward/record.url?scp=77953341115&partnerID=8YFLogxK
U2 - 10.1080/13504850802314429
DO - 10.1080/13504850802314429
M3 - Journal article
AN - SCOPUS:77953341115
SN - 1350-4851
VL - 17
SP - 753
EP - 760
JO - Applied Economics Letters
JF - Applied Economics Letters
IS - 8
ER -