Exchange Rate, Global Market Conditions, and ETF Returns: A Comparative Study

Maria Olivia, Doddy Ariefianto, Shirleen Ramli

Abstract

This study investigates the role of exchange rates and the global market on a selected country’s exchange-traded fund (ETF) return. The dataset is constructed from 12 developed and 7 emerging countries’ ETFs for January 2012-July 2022. We employ linear regression with the delta percentage change method. The empirical analysis suggests that there are negative highly significant co-movements between the global market and most selected countries’ ETF returns. Meanwhile, exchange rates negatively and highly significantly influences only emerging market ETFs. We concluded that developed market ETFs have a strong negative linkage with the global market returns.

 

Keywords: exchange-traded fund, market return, exchange rates, macroeconomics.

 

DOI: https://doi.org/10.55463/hkjss.issn.1021-3619.61.69


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