Performance and diversification benefits of foreign-equity ETFs in emerging markets

References

• Bekaert, G., and C. R. Harvey. 1997. “Emerging Equity Market Volatility.” Journal of Financial Economics 43 (1): 29–77. doi:10.1016/S0304-405X(96)00889-6.
   Web of Science ®Google Scholar
• Blitz, D., and J. Huij. 2012. “Evaluating the Performance of Global Emerging Markets Equity Exchange-Traded Funds.” Emerging Markets Review 13 (2): 149–158. doi:10.1016/j.ememar.2012.01.004.
   Web of Science ®Google Scholar
• Chang, E., C. S. Eun, and R. Kolodny. 1995. “International Diversification through Closed-End Country Funds.” Journal of Banking Finance 19 (7): 1237–1263. doi:10.1016/0378-4266(94)00122-J.
   Web of Science ®Google Scholar
• Chena, J.-H., and C.-Y. Huang. 2010. “An Analysis of the Spillover Effects of Exchange-Traded Funds.” Applied Economics 42 (9): 1155–1168. doi:10.1080/00036840701721182.
   Web of Science ®Google Scholar
• Chu, P.-K.-K. 2011. “Study on the Tracking Errors and Their Determinants: Evidence from Hong Kong Exchange Traded Funds.” Applied Financial Economics 21 (5): 309–315. doi:10.1080/09603107.2010.530215.
   Google Scholar
• Gutierrez, J. A., V. Martinez, and Y. Tse. 2009. “Where Does Return and Volatility Come From? the Case of Asian Etfs.” International Review of Economics & Finance 18 (4): 671–679. doi:10.1016/j.iref.2009.02.012.
   Web of Science ®Google Scholar
• Harper, J. T., J. Madura, and O. Schnusenberg. 2006. “Performance Comparison between Exchange-Traded Funds and Closed-End Country Funds.” Journal of International Financial Markets, Institutions and Money 16 (2): 104–122. doi:10.1016/j.intfin.2004.12.006.
   Google Scholar
• Harvey, C. R. 1991. “The World Price of Covariance Risk.” Journal of Finance 46 (1): 111–157. doi:10.1111/j.1540-6261.1991.tb03747.x.
   Web of Science ®Google Scholar
• Huang, M.-Y., and J.-B. Lin. 2011. “Do Etfs Provide Effective International Diversification?” Research in International Business and Finance 25 (3): 335–344. doi:10.1016/j.ribaf.2011.03.003.
   Google Scholar
• Kanuria, S., and R. W. McLeod. 2015. “Does It Pay to Diversify? U.S. Vs. International Etfs.” Financial Services Review 24 (3): 249–270.
   Google Scholar
• Lee, H.-C., C.-H. Hsu, and Y.-H. Lee. 2016. “Location of Trade, Return Comovements, and Diversification Benefits: Evidence from Asian Country Etfs.” The North American Journal of Economics and Finance 37: 279–296. doi:10.1016/j.najef.2016.05.009.
   Web of Science ®Google Scholar
• Lin, C.-C., S.-J. Chan, and H. Hsu. 2006. “Pricing Efficiency of Exchange Traded Funds in Taiwan.” Journal of Asset Management 7 (1): 60–68. doi:10.1057/palgrave.jam.2240202.
   Google Scholar
• Lin, C.-C., and M.-H. Chiang. 2005. “Volatility Effect of Etfs on the Constituents of the Underlying Taiwan 50 Index.” Applied Financial Economics 15 (18): 1315–1322. doi:10.1080/09603100500389630.
   Google Scholar
• Pennathur, A. K., N. Delcoure, and D. Anderson. 2002. “Diversification Benefits of Ishares and Closed-End Country Funds.” Journal of Financial Research 25 (4): 541–557. doi:10.1111/jfir.2002.25.issue-4.
   Google Scholar
• Phengpis, C., and P. E. Swanson. 2009. “Ishares and the US Market Risk Exposure.” Journal of Business Finance & Accounting 36 (7/8): 972–986. doi:10.1111/j.1468-5957.2009.02150.x.
   Web of Science ®Google Scholar
• Phengpis, C., and P. E. Swanson. 2011. “Optimization, Cointegration and Diversification Gains from International Portfolios: An Out-Of-Sample Analysis.” Review of Quantitative Finance and Accounting 36 (2): 269–286. doi:10.1007/s11156-010-0174-3.
   Google Scholar
• Purohit, H., N. Choudhary, and P. Tyagi. 2014. “An Evaluation of Tracking Error on World Indices Etfs Traded in India.” IUP Journal of Applied Finance 20 (3): 41–52.
   Google Scholar
• Purohit, H., and N. Malhotra. 2015. “Pricing Efficiency and Performance of Exchange Traded Funds in India.” IUP Journal of Applied Finance 21 (3): 16–35.
   Google Scholar
• Sortino, F. A., and R. V. D. Meer. (2009, February 26). Downside risk [primary_article]. Retrieved January 3, 2017, from
   Google Scholar
• Tsai, P.-J., and P. E. Swanson. 2009. “The Comparative Role of Ishares and Country Funds in Internationally Diversified Portfolios.” Journal of Economics and Business 61 (6): 472–494. doi:10.1016/j.jeconbus.2009.06.003.
   Google Scholar
• Yiannaki, S. M. 2015. “Etfs Performance Europe - A Good Start or Not?” Procedia Economics and Finance 30: 955–966. doi:10.1016/S2212-5671(15)01346-5.
   Google Scholar
• Zhong, M., and H. Yang. 2005. “Risk Exposures and International Diversification: Evidence from Ishares.” Journal of Business Finance & Accounting 32 (3/4): 737–771. doi:10.1111/j.0306-686X.2005.00612.x.
   Web of Science ®Google Scholar