Tracking Errors of Exchange Traded Funds in Bursa Malaysia

Ku, Alfred Alfred Ing-Soon and Liew, Venus Khim-Sen and Puah, Chin Hong (2019) Tracking Errors of Exchange Traded Funds in Bursa Malaysia. Asian Journal of Finance & Accounting, 11 (2). pp. 96-109. ISSN 1946-052X

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Abstract

This study measures the tracking errors of exchange traded funds (ETFs) listed in Bursa Malaysia. Five measures of tracking errors are estimated in this study for the seven ETFs involved. Overall, the best ETF is METFAPA with the least tracking error. The ranking of the remainder ETFs, in the ascending order of tracking error is MYETFID, METFSID, MYETFDJ, CIMC50, FBMKLCI-EA and CIMBA40 (highest tracking error). The findings in this study is expected to provide clue for passive institutional and retail investors on their selection of ETFs to mimic the portfolio of the desired underlying assets. Moreover, it is anticipated that these findings will motivate the improvement in the tracking ability of the existing ETFs, solicit more follow up studies to encourage the development of new ETFs and increase the participation of investors.

Item Type: E-Article
Uncontrolled Keywords: Exchanged Traded Fund, Bursa Malaysia, Passive Managment, Tracking Error, unimas, university, universiti, Borneo, Malaysia, Sarawak, Kuching, Samarahan, ipta, education, research, Universiti Malaysia Sarawak.
Subjects: H Social Sciences > HF Commerce > HF5601 Accounting
H Social Sciences > HG Finance
Divisions: Academic Faculties, Institutes and Centres > Faculty of Economics and Business
Depositing User: Gani
Date Deposited: 12 Dec 2019 03:49
Last Modified: 12 Dec 2019 03:49
URI: http://ir.unimas.my/id/eprint/28222

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