| Return Distributions of KOSPI200 Index ETFs and Investors' Limited Attention |
|
Kyong Shik Eom, Jongho Park |
| KOSPI200 지수 관련 ETF의 수익률 분포와 투자자의 주의력 부족 현상 |
|
엄경식, 박종호 |
|
|
|
|
| Abstract |
|
The returns of the KOSPI200 index and its 5 ETFs have the same mean, but different variance. This goes against the main principle of traditional finance: the same return is a reward for the same risk. In this paper, we report this phenomenon for the first time, investigate whether it is also true of the U.S. ETF markets, and investigate the causes. Analyzing TAQ and daily data from January 2006 to June 2012, we found the following results. First, as described the above, the return distributions of KOSPI200 index and its ETFs were significantly different. Each of the 5 ETFs` mean returns was not statistically different from that of the index, whereas their variances were statistically significantly different from each other except for the most liquid ETF, KODEX200. By contrast, in the U.S., the return distributions of the S&P 500 index and its 3 ETFs were not statistically significantly different. This indicates that the phenomenon in the Korean stock markets does not extend to other markets. Second, the riskier ETFs among the 5 KOSPI200 index ETFs had lower volume and their tracking portfolios held a larger number of firms. The coexistence of these inferior ETFs alongside the superior ETFs suggests that some investors have limited attention. Third, the riskier the KOSPI200 index ETF, the higher its trading cost. This inefficiency of trading cost arose from low trading volume. Our results suggest that the relative spread, transaction costs and market quality of ETFs, are determined by the process through which investors` behavior is incorporated into the market mechanism, rather than by the index which the ETF seeks to replicate. |
| Key Words:
거래량,거래비용,주의력 부족,행동재무론,Behavioral Finance,KOSPI200 지수 ETF,KOSPI200 Index ETFs,Limited Attention,Trading Cost,Trading Volume |
|
PDF Links
Full text via DOI
Download Citation
