A note on the intraday and intraweek patterns in premiums of exchange-traded funds: Evidence from Hong Kong

Gordon Y N TANG; Karen H.Y. Wong

doi:10.1080/13504850802314429

A note on the intraday and intraweek patterns in premiums of exchange-traded funds: Evidence from Hong Kong

Gordon Y N TANG
, Karen H.Y. Wong

Research output: Contribution to journal › Journal article › peer-review

Abstract

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.

Original language	English
Pages (from-to)	753-760
Number of pages	8
Journal	Applied Economics Letters
Volume	17
Issue number	8
DOIs	https://doi.org/10.1080/13504850802314429
Publication status	Published - Jun 2010

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10.1080/13504850802314429

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abstract = "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.",

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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.

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A note on the intraday and intraweek patterns in premiums of exchange-traded funds: Evidence from Hong Kong

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