Analysis of Tracking Performance and Tracking Error in the Exchange-Traded Fund in Tehran Stock Exchange

Kaviani, Meysam; Gavara, Maryam; Mansour Gorgani, Abolfazl

doi:10.61186/jmbr.17.59.127

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year 17, Issue 59 (6-2024)

JMBR 2024, 17(59): 127-154

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Analysis of Tracking Performance and Tracking Error in the Exchange-Traded Fund in Tehran Stock Exchange

Meysam Kaviani ^*¹

, Maryam Gavara¹

, Abolfazl Mansour Gorgani²

1- Department of Management and Accounting, Karaj Branch, Islamic Azad University, Karaj, Iran
2- financial management, Islamic Azad University, Karaj branch

Abstract: (182 Views)

This research in Tehran Stock Exchange has analyzed the tracking performance of ETFs, i.e. how funds can repeat their pattern (index) and also their tracking error. Tracking performance with CAPM and index models, as well as the analysis of the presence or absence of balance of funds in the long term with the method of Johansen (1988) have been investigated. Tracking error has been analyzed through effective factors such as yield fluctuations, liquidity and price spread of funds. The data used in the research were extracted with daily frequency between the years 2013 and 2022. The obtained results indicate that from the point of view of tracking performance, only two funds had positive and significant alpha and some of these funds also behaved riskier than the market due to their high beta. The results of the convergence test also showed that the relationship between ETFs and the total index has an imbalance in the long term. Finally, the results of the effective factors on the tracking error showed that the selected effective factors were significant in some funds and non-significant in some funds.

Article number: 5

Full-Text [PDF 1367 kb] (36 Downloads)

Type of Study: Case Study | Subject: Financial Institutions and Services (G2)
Received: 2024/05/16 | Accepted: 2024/10/9 | Published: 2024/12/29

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