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All Journal Jurnal Minds: Manajemen Ide dan Inspirasi JURNAL PENDIDIKAN EKONOMI: Jurnal Ilmiah Ilmu Pendidikan, Ilmu Ekonomi dan Ilmu Sosial Abdi Dosen : Jurnal Pengabdian Pada Masyarakat PREPOTIF : Jurnal Kesehatan Masyarakat Community Engagement and Emergence Journal (CEEJ) Jurnal Ilmiah Manajemen Kesatuan Budapest International Research and Critics Institute-Journal (BIRCI-Journal): Humanities and Social Sciences Transekonomika : Akuntansi, Bisnis dan Keuangan Jurnal Locus Penelitian dan Pengabdian Eduvest - Journal of Universal Studies
Arianto, Radityo Fajar
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Religion Aerospace Engineering Arts Humanities Automotive Engineering Computer Science & IT Decision Sciences, Operations Research & Management Economics, Econometrics & Finance Education Electrical & Electronics Engineering Environmental Science Health Professions Mathematics Neuroscience Public Health Social Sciences

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Indonesian Exchange Traded Fund Performance Arianto, Radityo Fajar; Supratikno, Hendrawan; Ugut, Gracia Shinta S.; Hulu, Edison
Budapest International Research and Critics Institute (BIRCI-Journal): Humanities and Social Sciences Vol 4, No 3 (2021): Budapest International Research and Critics Institute August
Publisher : Budapest International Research and Critics University

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.33258/birci.v4i3.2282

Abstract

This study aims to examine the effect of index volatility, changes in market capitalization, volume, momentum and liquidity on the difference between net asset value (NAV) return with the benchmark indexreturn of ETFs in Indonesia individually. The sample from this study amounted to 19 ETFs with purposive sampling method for the period 1 January – 30 June 2020. The analytical tool used was multiple regression with time series data. The results of this study include that the volatility of the benchmark index is a significant factor for the six sample ETFs. Meanwhile, changes in market capitalization are not a significant factor affecting tracking error.
Co-Authors Adityatama, Erick Kristianto Chrestella, Valentcia Earlene Ellyamurti, Devanti Octavia Emmanuella , Olga Eric Kurniawan Fadhilah, Prila Luthfatul Gracia S Ugut Gunawan, Yohan Haryanto, Tandri Hendrawan Supratikno Hulu, Edison Hutabarat, Moses L.P Nadila, Devita Samuel, Sylvia Sanfransiska, Sherly Simatupang, Apriani