1,716
Views
2
CrossRef citations to date
0
Altmetric
FINANCIAL ECONOMICS

On the informational efficiency of Saudi exchange-traded funds listed at home and away from home

ORCID Icon | (Reviewing editor)
Article: 1902654 | Received 25 Jun 2020, Accepted 09 Mar 2021, Published online: 29 Apr 2021

References

  • Ackert, L. F., & Tian, Y. S. (2000). Arbitrage and valuation in the market for standard and poor’s depositary receipts. Financial Management, 29(3), 71–23. https://doi.org/10.2307/3666230
  • Ackert, L. F., & Tian, Y. S. (2008). Arbitrage, liquidity, and the valuation of exchange traded funds. Financial Markets, Institutions & Instruments, 17(5), 331–362. https://doi.org/10.1111/j.1468-0416.2008.00144.x
  • Agapova., A. (2011). Conventional mutual index funds versus exchange-traded funds. Journal of Financial Markets, 14(2), 323–343. https://doi.org/10.1016/j.finmar.2010.10.005
  • Alassane, D. (2019). Premiums/discounts,tracking errors and performance of Saudi Arabian ETFs. The Journal of Asian Finance, Economics and Business, 6(2), 9–13. https://doi.org/10.13106/jafeb.2019.vol6.no2.9
  • Almudhaf, F., & Alhashel, B. (2020). Pricing efficiency of Saudi exchange traded funds (ETFs). Journal of Islamic Accounting and Business Research, 11(3), 793–809. https://doi.org/10.1108/JIABR-06-2017-0082
  • Almudhaf, F. (2019). Pricing efficiency of exchange traded funds tracking the gulf cooperation countries. Afro-Asian Journal of Finance and Accounting, 9(2), 117–140. https://doi.org/10.1504/AAJFA.2019.099485
  • Andreu, L., Swinkels, L., & Liam, T.-A.-T. (2013). Can exchange traded funds be used to exploit industry and country momentum? Financial Markets and Portfolio Management, 27(2), 127–148. https://doi.org/10.1007/s11408-013-0207-8
  • Antoniewicz, R., & Heinrichs, J. 2014. Understanding exchange-traded funds: how ETFs work. Investment Company Institute. Available online: https://www.ici.org/pdf/per20-05.pdf (accessed on 15/ 12/2019).
  • Antoniewicz, R., & Heinrichs, J. 2015. The role and activities of authorized participants of exchange-traded funds. Investment Company Institute. Available online: https://www.ici.org/pdf/ppr_15_aps_etfs.pdf (accessed on 15/ 12/2019).
  • Badenhorst, W. M. (2017). Premiums and discounts of exchanged-traded funds. South African Journal of Accounting Research, 31(3), 212–222. https://doi.org/10.1080/10291954.2016.1199145
  • Ben-David, I., Franzoni, F., & Moussawi, R. (2017). Exchange-traded funds. Annual Review of Financial Economics, 9(1), 169–189. https://doi.org/10.1146/annurev-financial-110716-032538
  • Blitz, D., Huij, J., & Swinkels, L. (2012). The performance of European index funds and exchange-traded funds. European Financial Management, 18(4), 649–662. https://doi.org/10.1111/j.1468-036X.2010.00550.x
  • BlackRock. 2019a. iShares MSCI Saudi Arabia ETF fact sheet as of 30/6/2019. BlackRock. Available online: https://www.ishares.com/us/literature/fact-sheet/ksa-ishares-msci-saudi-arabia-etf-fund-fact-sheet-en-us.pdf (accessed on 30/6/2019).
  • BlackRock. 2019b. iShares MSCI South Africa ETF fact sheet as of 30/6/2019. BlackRock.  Available online: https://www.ishares.com/us/literature/fact-sheet/eza-ishares-msci-south-africa-etf-fund-fact-sheet-en-us.pdf (accessed on 30/6/2019).
  • Charteris, A. (2013). The price efficiency of South African exchange traded funds. Investment Analysts Journal, 2013(78), 1–11. https://doi.org/10.1080/10293523.2013.11082558
  • CMA. 2008. Annual Report. The capital market authority. Available online: https://cma.org.sa/en/Market/Reports/Documents/cma_2008_report.pdf (accessed on 12/8/2019).
  • CMA. 2010. Annual Report. The capital market authority. Available online: https://cma.org.sa/en/Market/Reports/Documents/cma_2010_report.pdf (accessed on 12/8/2019).
  • CMA. 2019. Annual Report. The capital market authority. Available online: https://cma.org.sa/Market/Reports/Documents/cma_2019_report.pdf (accessed on 15/5/2020).
  • Dannhauser, C. D. (2017). The impact of innovation: Evidence from corporate bond exchange-traded funds (ETFs). Journal of Financial Economics, 125(3), 537–560. https://doi.org/10.1016/j.jfineco.2017.06.002
  • DeFusco, R. A., Ivanov, S. I., & Karels, G. V. (2011). The exchange traded funds’ pricing deviation: Analysis and forecasts. Journal of Economics and Finance, 35(2), 181–197. https://doi.org/10.1007/s12197-009-9090-6
  • Delcoure, N., & Zhong, M. (2007). On the premiums of iShares. Journal of Empirical Finance, 14(2), 168–195. https://doi.org/10.1016/j.jempfin.2005.12.004
  • Dickey, D. A., & Fuller, W. A. (1981). Likelihood ratio statistics for autoregressive time series with a unit root. Econometrica, 49(4), 1057–1072. https://doi.org/10.2307/1912517
  • Elton, E. J., Gruber, M. J., Comer, G., & Kai, L. (2002). Spiders: where are the bugs? The Journal of Business, 75(3), 453–472. https://doi.org/10.1086/339891
  • Elton, E. J., Gruber, M. J., & De Souza, A. (2019). Passive mutual funds and ETFs: performance and comparison. Journal of Banking & Finance, 106, 265–275. https://doi.org/10.1016/j.jbankfin.2019.07.004
  • Engle, R. F., & Granger, C. W. J. (1987). Co-integration and error correction: representation, estimation, and testing. Econometrica, 55(2), 251–276. https://doi.org/10.2307/1913236
  • Engle, R. F., & Sarkar, D. (2006). Premiums-discounts and exchange traded funds. The Journal of Derivatives, 13(4), 27–45. https://doi.org/10.3905/jod.2006.635418
  • Fama, E. F. (1970). Efficient capital markets: A review of theory and empirical work. The Journal of Finance, 25(2), 383–417. https://doi.org/10.2307/2325486
  • Gallagher, D. R., & Segara, R. (2005). The performance and trading characteristics of exchange-traded funds. Journal of Investment Strategy, 1(2), 47–58. https://www.fsadvice.com.au/media/library/CPD/PDFs/Journals/Investment%20Strategy/Volume%201/Number%202/JIS-v1n02-05_gallagher.pdf
  • Goetzmann, W. N., Ivković, Z., & Rouwenhorst, K. G. (2001). Day trading international mutual funds: evidence and policy solutions. The Journal of Financial and Quantitative Analysis, 36(3), 287–309. https://doi.org/10.2307/2676284
  • Harper, J. T., Madura, J., & Schnusenberg, O. (2006). Performance comparison between exchange-traded funds and closed-end country funds. Journal of International Financial Markets, Institutions and Money, 16(2), 104–122. https://doi.org/10.1016/j.intfin.2004.12.006
  • Henderson, R. 2019. Saudi stocks attract billions of dollars in inflows. The Financial Times, July 31. Available online: https://www.ft.com/content/22b009a8-b23d-11e9-bec9-fdcab53d6959 (accessed on 17/8/2019). The Financial Times.
  • Hill, J. M., Nadig, D., & Hougan, M. (2015). A comprehensive guide to exchange-traded funds (etfs). CFAResearch Foundation Publications, 2015(3), 1–181. https://www.cfainstitute.org/en/research/foundation/2015/a-comprehensive-guide-to-exchange-traded-funds-etfs
  • Hilliard, J. (2014). Premiums and discounts in ETFs: An analysis of the arbitrage mechanism in domestic and international funds. Global Finance Journal, 25(2), 90–107. https://doi.org/10.1016/j.gfj.2014.06.001
  • Hughen, J. C. (2003). How effective is arbitrage of foreign stocks? the case of the Malaysia exchange‐traded fund. Multinational Business Review, 11(2), 17–28. https://doi.org/10.1108/1525383X200300009
  • Hughen, J. C., & Mathew, P. G. (2009). The efficiency of international information flow: Evidence from the ETF and CEF prices. International Review of Financial Analysis, 18(1–2), 40–49. https://doi.org/10.1016/j.irfa.2008.12.001
  • Investment Company Institute. 2019. INVESTMENT COMPANY FACT BOOK A review of trends and activities in the investment company industry. Washington. Available online: https://www.ici.org/pdf/2019_factbook.pdf (accessed on 15/ 12/2019).
  • Israeli, D., Lee, C. M. C., & Sridharan, S. A. (2017). Is there a dark side to exchange traded funds? An information perspective. Review of Accounting Studies, 22(3), 1048–1083. https://doi.org/10.1007/s11142–017-9400-8
  • Jiang, Y., Guo, F., & Lan, T. (2010). Pricing efficiency of China’s exchange-traded fund market. The Chinese Economy, 43(5), 32–49. https://doi.org/10.2753/CES1097-1475430503
  • Johansen, S. (1988). Statistical analysis of cointegration vectors. Journal of Economic Dynamics & Control, 12(2–3), 231–254. https://doi.org/10.1016/0165-1889(88)90041-3
  • Kayali, M. M. (2007). Pricing efficiency of exchange traded funds in Turkey: early evidence from the Dow Jones Istanbul 20. International Research Journal of Finance and Economics, 10, 14–23. https://www.researchgate.net/profile/Mustafa-Kayali/publication/307465279_Pricing_efficiency_of_ETFs_in_Turkey_Early_evidence_from_Dow_Jones_Istanbul_20/links/5a279b3daca2727dd883c1bc/Pricing-efficiency-of-ETFs-in-Turkey-Early-evidence-from-Dow-Jones-Istanbul-20.pdf
  • Kwiatkowski, D., Phillips, P. C. B., Schmidt, P., & Shin, Y. (1992). Testing the null hypothesis of stationarity against the alternative of a unit root: how sure are we that economic time series have a unit root? Journal of Econometrics, 54(1–3), 159–178. https://doi.org/10.1016/0304-4076(92)90104-Y
  • Kostovetsky, L. (2003). Index mutual funds and exchange-traded funds. The Journal of Portfolio Management, 29(4), 80–92. https://doi.org/10.3905/jpm.2003.319897
  • Lee, C. M. C., Shleifer, A., & Thaler, R. H. (1990). Anomalies: closed-end mutual funds. Journal of Economic Perspectives, 4(4), 153–164. https://doi.org/10.1257/jep.4.4.153
  • Lettau, M., & Madhavan, A. (2018). Exchange-traded funds 101 for economists. Journal of Economic Perspectives, 32(1), 135–154. https://doi.org/10.1257/jep.32.1.135
  • Lin, C.-C., Chan, S.-J., & Hsu, H. (2006). Pricing efficiency of exchange traded funds in Taiwan. Journal of Asset Management, 7(1), 60–68. https://doi.org/10.1057/palgrave.jam.2240202
  • MacKinnon, J. G. (1996). Numerical distribution functions for unit root and cointegration tests. Journal of Applied Econometrics, 11(6), 601–618. https://doi.org/10.1002/(SICI)1099-1255(199611)11:6. AID-JAE417>3.0.CO;2-T
  • Madhavan, A., & Sobczyk, A. (2016). Price dynamics and liquidity of exchange-traded funds. Journal of Investment Management, 14(2), 1–17. https://www.joim.com/wp-content/uploads/emember/downloads/p051418.pdf
  • Pacheco, F. 2019a. Saudi Arabia on track to outpace india at top of ETF ranking. Bloomberg, June 11. Available online: https://www.bloomberg.com/news/articles/2019-06-11/saudi-arabia-on-track-to-outpace-india-at-top-of-etf-ranking (accessed on 17/8/2019).
  • Pacheco, F. 2019b. Saudi shares overtake turkey as destination for U.S. ETFs. Bloomberg, April 2. Bloomberg. Available online: https://www.bloomberg.com/news/articles/2019-04-02/saudi-shares-overtake-turkey-as-destination-for-u-s-based-funds (accessed on 17/8/2019).
  • Pesaran, M. H., & Shin, Y. (1996). Cointegration and speed of convergence to equilibrium. Journal of Econometrics, 71(1–2), 117–143. https://doi.org/10.1016/0304-4076(94)01697-6
  • Petajisto, A. (2017). Inefficiencies in the pricing of exchange-traded funds. Financial Analysts Journal, 73(1), 24–54. https://doi.org/10.2469/faj.v73.n1.7
  • Phillips, P. C. B., & Hansen, B. E. (1990). Statistical inference in instrumental variables regression with I(1) processes. The Review of Economic Studies, 57(1), 99–125. https://doi.org/10.2307/2297545
  • Phillips, P. C. B., & Ouliaris, S. (1990). Asymptotic properties of residual based tests for cointegration. Econometrica, 58(1), 165–193. https://doi.org/10.2307/2938339
  • Phillips, P. C. B., & Perron, P. (1988). Testing for a unit root in time series regression. Biometrika, 75(2), 335–346. https://doi.org/10.1093/biomet/75.2.335
  • Shanmugham, R., & Zabiulla, Z. (2012). Pricing efficiency of nifty BeES in Bullish and Bearish Markets. Global Business Review, 13(1), 109–121. https://doi.org/10.1177/097215091101300107
  • Sheskin, D. J. (2011). Handbook of parametric and nonparametric statistical procedures. CRC Press.
  • The Economist. (2015, August). Roaring ahead, Exchange-traded funds have overtaken hedge funds as an investment vehicle. The Economist, 1.
  • Tsai, P.-J., & Swanson, P. E. (2009). The comparative role of iShares and country funds in internationally diversified portfolios. Journal of Economics and Business, 61(6), 472–494. https://doi.org/10.1016/j.jeconbus.2009.06.003
  • Tse, Y., & Martinez, V. (2007). Price discovery and informational efficiency of international iShares funds. Global Finance Journal, 18(1), 1–15. https://doi.org/10.1016/j.gfj.2007.02.001