Managerial Finance


Accounting and Finance

Table Of Contents: Volume 42 Issue 5

Determinants of tracking error in German ETFs – the role of market liquidity

Friedrich Osterhoff, Christoph Kaserer

The purpose of this paper is to contribute to a better understanding of the impact of market liquidity on the daily tracking error of exchange-traded funds (ETFs). It puts…

Leveraged ETF option strategies

William Trainor, Richard Gregory

Leveraged exchange traded funds (ETFs) have become increasingly popular since their introduction in 2006. In recent years, options on leveraged ETFs have been promoted as…

Cointegration-based trading: evidence on index tracking & market-neutral strategies

Ioannis Papantonis

The purpose of this paper is to present an alternative approach to equity trading that is based on cointegration. If there are long-run equilibria among financial assets…

Cyclical comovements of the world equity indexes

Haigang Zhou

The purpose of this paper is to study synchronization in stock index cycles across 82 countries and the linkage between macroeconomic and financial integration and stock…

Financial integration and diversification benefits: China and ASEAN4 countries

Tung Dao Nguyen, Pana Elisabeta

The strategic partnership between China and ASEAN has resulted in significant financial reforms at the country and regional level. The scale and pace of these changes call…



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  • Professor Don Johnson