Publication: Performance and diversification benefits of foreign-equity ETFs in emerging markets
1
Issued Date
2018-01-19
Resource Type
ISSN
14664291
13504851
13504851
Other identifier(s)
2-s2.0-85015008920
Rights
Mahidol University
Rights Holder(s)
SCOPUS
Bibliographic Citation
Applied Economics Letters. Vol.25, No.2 (2018), 125-129
Suggested Citation
Thanarerk Thanakijsombat, Treerapot Kongtoranin Performance and diversification benefits of foreign-equity ETFs in emerging markets. Applied Economics Letters. Vol.25, No.2 (2018), 125-129. doi:10.1080/13504851.2017.1302055 Retrieved from: https://repository.li.mahidol.ac.th/handle/123456789/45763
Research Projects
Organizational Units
Authors
Journal Issue
Thesis
Title
Performance and diversification benefits of foreign-equity ETFs in emerging markets
Other Contributor(s)
Abstract
© 2017 Informa UK Limited, trading as Taylor & Francis Group. This study provides a comprehensive review of the risk-return characteristics, performance and international diversification benefits of an uncharted fast-growing segment of the global exchange-traded fund (ETF) market by examining 17 foreign-equity ETFs traded in 6 emerging markets. The results indicate that the sample ETFs domiciled in these economies perform poorly providing relatively low returns while exposing emerging market investors to substantial total and systematic risks. In addition, these ETFs are found to be more sensitive to downside risk, making them relatively more vulnerable to market downturns. Although the foreign-equity ETFs are designed to provide investors with full international diversification benefits, we find that they are significantly affected by their local market conditions and sentiments, making them ineffective international diversification tools.