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Do Country ETFs Influence Foreign Stock Market Index? Evidence from India ETFs
Published in Sage Publications India Pvt. Ltd
Volume: 18
Issue: 1_suppl
Pages: S59 - S86
We examine the influence of country exchange traded funds (ETFs) on the country’s stock market indices, irrespective of their underlying benchmark. A pooled ordinary least square (OLS) analysis of a sample of 28 India ETFs listed in the US, UK, Canada, France, Japan, Israel and Singapore reveals that India ETFs have a significant impact on the country’s stock indices. We also document reverse causal dynamics between country ETFs and the country’s stock indices. The results are robust even after controlling for global effects, stock market volatility, foreign institutional investor (FII) flows, foreign exchange rate and asset size of India ETFs. The findings of the study have implications for global investors and policymakers in both emerging and developed markets. Policymakers would find it compelling to monitor country ETFs’ fund flows into the underlying country, as withdrawal of country ETFs could have a cascading effect on the economy. JEL Classification: G11, G15, G23. © 2019 Institute of Financial Management and Research.
About the journal
JournalData powered by TypesetJournal of Emerging Market Finance
PublisherData powered by TypesetSage Publications India Pvt. Ltd
Open AccessNo