The role of Exchange Traded Funds in the price discovery process of stocks listed on the Botswana Stock Exchange
Open Access
- 31 January 2017
- journal article
- Published by Center for Strategic Studies in Business and Finance SSBFNET in International Journal of Finance & Banking Studies (2147-4486)
- Vol. 6 (1), 141-148
- https://doi.org/10.20525/ijfbs.v6i1.662
Abstract
In this paper we analyse the role of Exchange Traded Funds (ETFs) in the price discovery process of stocks listed at the Botswana Stock Exchange.Using daily returns data covering the period 3 January 2013 to 31 December 2015 for Beta Betta ETF and Domestic Company Indices, we utilize a VECM model to find out whether the Betta Beta ETF is playing a significant role in the price discovery process of stocks listed on the Botswana Stock Exchange. We found the error correction term to be statistically significant thereby confirming that the Beta Betta ETF is playing a significant role in the price discovery of stocks listed on the Botswana Stock Exchange.Keywords
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