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http://dx.doi.org/10.14400/JDC.2018.16.5.185

A Study on the Investment Efficiency of Korean ETFs  

Jung, Hee-Seog (Division of Business Administration, Sungkyul University)
Publication Information
Journal of Digital Convergence / v.16, no.5, 2018 , pp. 185-197 More about this Journal
Abstract
The purpose of this study is to analyze the Korean ETF market, which is experiencing a rapid increase in the number of stocks, to identify the degree of investment efficiency and to present investment directions. The methodology and procedure are ETF yield, change trends, correlation and regression analysis of the ETFs traded between 2010 and 2018. As a result, the total return of domestic ETFs was 3.51%, which was lower than the KOSPI growth rate and the return on equity ETFs was 4.03%, which was low. Leverage ETF yields were below 3%, which was low. The return on bond and currency ETFs was less than 1%. The most profitable ETFs were index ETFs, followed by domestic and leveraged ETFs. This study has contributed to establishing considerations when purchasing ETFs from the viewpoint of investors. Future research will present the direction of ETF investment more precisely.
Keywords
Exchange Trading Fund(ETF); Investment efficiency; Domestic ETFs; Foreign ETFs; ETF yield;
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Times Cited By KSCI : 4  (Citation Analysis)
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