Purpose – The purpose of this paper is to assess whether exchange-traded funds (ETFs) can beat the market, as it is expressed by the Standard and Poor (S&P) 500 Index, examine the outperformance persistence, calculate tracking error, assess the tracking error persistence, investigate the...

In this paper we assess the weak-form efficiency of Exchange Traded Funds market applying various parametric and non-parametric tests. The parametric tests performed concern serial correlation tests and Augmented Dickey-Fuller (ADF) unit root test while the nonparametric tests used is the...

Purpose – This paper aims to investigate the intervalling effect bias in ETFs' systematic risk expressed by beta. The authors' findings reveal the existence of a significant intervalling effect on ETFs' beta obtained by the ordinary least squares method (OLS). Also investigated is the impact...

This paper investigates the seasonal characteristics of exchange traded funds (ETFs) return, risk, tracking error and volume and reveals the existence of a strong November effect in performance. On the other hand, this study finds that the well-known January effect does not affect the...