Cover -- Editorial advisory board -- Guest editorial -- Determinants of tracking error in German ETFs - the role of market liquidity -- Leveraged ETF option strategies -- Cointegration-based trading:evidence on index tracking & market-neutral strategies -- Cyclical comovements of the world...

Purpose – 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 a special focus on the liquidity cost of individual underlying stocks as well as the process of...

Purpose – 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 market synchronization. Design/methodology/approach – The author document the synchronization structure of the...

Purpose – 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 for systematic assessments of their bearing on the development and integration of financial markets in this...

Purpose – 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 a means of enhancing returns and reducing risk. The purpose of this paper is to examine the interchangeability of...

Purpose – 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, a cointegration-based trading strategy can exploit profitable opportunities by capturing mean-reverting short-run...