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Volatility timing in ETFs : evidence from Hong Kong market

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dc.contributor.advisor Boabang, Francis
dc.coverage.spatial Hong Kong
dc.creator Wang, Jia
dc.date.accessioned 2012-09-25T18:21:46Z
dc.date.available 2012-09-25T18:21:46Z
dc.date.issued 2012
dc.identifier.uri http://library2.smu.ca/xmlui/handle/01/24685
dc.description 1 online resource (v, 45 leaves)
dc.description Includes abstract and appendix.
dc.description Includes bibliographical references (leaves 27-29).
dc.description.abstract This paper tests the significance of volatility timing skills in Hong Kong ETFs market. The historical data on thirty-nine ETFs are collected through 2000 to 2012. To study the existence of volatility timing in different periods, this paper separates the dataset into two parts by the year of 2010. The results show that only two funds confirm the existence volatility timing, although one of the coefficient is small. Other funds even keep expanding their market exposure when market volatility increases. In both time periods (before and after 2010), volatility timing does not significantly exist in majority of the funds. en_CA
dc.language.iso en en_CA
dc.publisher Halifax, N.S. : Saint Mary's University
dc.title Volatility timing in ETFs : evidence from Hong Kong market en_CA
dc.type Text en_CA
thesis.degree.name Master of Finance
thesis.degree.level Masters
thesis.degree.discipline Finance, Information Systems, & Management Science
thesis.degree.grantor Saint Mary's University (Halifax, N.S.)

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