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Studying the Factors Affecting Exchange-Traded Funds’ Tracking Errors in Tehran Stock Exchange Market

Hassani, Hossein | 2017

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  1. Type of Document: M.Sc. Thesis
  2. Language: Farsi
  3. Document No: 49699 (44)
  4. University: Sharif University of Technology
  5. Department: Management and Economics
  6. Advisor(s): Bahramgiri, Mohsen
  7. Abstract:
  8. Exchange-Traded Funds (ETFs) have become an important innovation in the financial markets nowadays. They are low cost products designed to pursue different replication strategies that respond to investor’s demands of liquidity and efficiency. However, they suffer from tracking errors and price mismatches even when they are designed to avoid them. So this problem makes diffrence between return of these ETFs and Index return that will be called “Tracking Errors”. In this research, due to analysis on 7 ETFs in Tehran Stock Exchange (TSE) in the 20 months period and analysis on 8 different independent variables that was expected to affect on tracking errors, it has been showed that between four independent variables including “ETF size”, “Index volatility”, “Transaction cost” & “Centralized stocks” and “Tracking Errors” there is a significant correlation. Among these variables, “ETF size” is negatively corelated with “Tracking Errors” and there is positive correlation with “Index volatility”, “Transaction cost” & “centralized stock”. Although among these four variables, the two variables of “Index volatility” & “Transaction costs” have stronger correlation with “Tracking Errors” that Regression Equation of “Tracking Errors” has been written according to these mentioned variables. Results also showed that the mean of Tracking Errors of studied ETFs in comparision to financial markets in developed countries is high
  9. Keywords:
  10. Exchange Traded Fund (ETF) ; Market Return ; Tehran Stock Exchange ; Tracking Ability ; Tracking Errors

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