Is the tracking error time varying? Evidence from agricultural ETCs

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dc.contributor.authorBialkowski, J.
dc.contributor.authorPerera D
dc.contributor.authorBohl MT
dc.date.accessioned2018-09-04T00:37:21Z
dc.date.available2018-09-04T00:37:21Z
dc.date.issued2018en
dc.date.updated2018-07-26T08:50:51Z
dc.description.abstractThis study argues that the high volatility of agricultural commodity prices creates a challenge for exchange-traded commodity (ETC) managers to track the underlying index. Furthermore, previous studies find exchange-traded products replicated synthetically report a high tracking error (TE). Accordingly, this study examines the level and persistence of the TE in agricultural ETCs. In particular, we examine whether the TE of ETCs varies over time depending on agricultural commodity price volatility. According to our findings, agricultural ETC fund managers do not drift from their investment style depending on commodity price volatility. However, investors in agricultural ETCs are exposed to high TE during periods of high volatility, although it is not persistent over time. Therefore, this study also adds evidence to the argument that synthetic replication leads to high TE in ETCs.en
dc.identifier.urihttp://hdl.handle.net/10092/15911
dc.language.isoen
dc.subjectAgricultural Commodity Marketen
dc.subjectEvent Study Methodologyen
dc.subjectExchange-Traded Commoditiesen
dc.subjectMarkov Switching Regressionen
dc.subjectTracking Erroren
dc.subject.anzsrcFields of Research::38 - Economics::3801 - Applied economics::380101 - Agricultural economicsen
dc.titleIs the tracking error time varying? Evidence from agricultural ETCsen
dc.typeDiscussion / Working Papersen
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