CMStatistics 2016: Start Registration
View Submission - CFE
Title: ETFs and market coverage Authors:  Junqi Li - Durham University (China) [presenting]
Chulwoo Han - Durham University (United Kingdom)
Abstract: ETFs' role is investigated as an investment alternative to stocks. While ETFs are considered an effective investment vehicle, it is not clear whether ETFs are diverse enough to cover the feasible region of the stocks. We find through ex-post efficient frontier analysis that ETFs based on equities are diverse, but not as much to cover the efficient frontier of stocks. However, when the ETFs on other assets such as commodities are also included, the efficient frontier of the ETFs are extended to cover most of the efficient frontier of stocks. Portfolio optimization results only support using ETFs instead of individual stocks for portfolio construction.