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

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.