{"title":"Exchange Rate, Global Market Conditions, and ETF Returns: A Comparative Study","authors":"","doi":"10.55463/hkjss.issn.1021-3619.61.69","DOIUrl":null,"url":null,"abstract":"This study investigates the role of exchange rates and the global market on a selected country’s exchange-traded fund (ETF) return. The dataset is constructed from 12 developed and 7 emerging countries’ ETFs for January 2012-July 2022. We employ linear regression with the delta percentage change method. The empirical analysis suggests that there are negative highly significant co-movements between the global market and most selected countries’ ETF returns. Meanwhile, exchange rates negatively and highly significantly influences only emerging market ETFs. We concluded that developed market ETFs have a strong negative linkage with the global market returns. Keywords: exchange-traded fund, market return, exchange rates, macroeconomics. DOI: https://doi.org/10.55463/hkjss.issn.1021-3619.61.69","PeriodicalId":38983,"journal":{"name":"Hong Kong journal of Social Sciences","volume":"65 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Hong Kong journal of Social Sciences","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.55463/hkjss.issn.1021-3619.61.69","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q4","JCRName":"Social Sciences","Score":null,"Total":0}
引用次数: 0
Abstract
This study investigates the role of exchange rates and the global market on a selected country’s exchange-traded fund (ETF) return. The dataset is constructed from 12 developed and 7 emerging countries’ ETFs for January 2012-July 2022. We employ linear regression with the delta percentage change method. The empirical analysis suggests that there are negative highly significant co-movements between the global market and most selected countries’ ETF returns. Meanwhile, exchange rates negatively and highly significantly influences only emerging market ETFs. We concluded that developed market ETFs have a strong negative linkage with the global market returns. Keywords: exchange-traded fund, market return, exchange rates, macroeconomics. DOI: https://doi.org/10.55463/hkjss.issn.1021-3619.61.69
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