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Alternative Market Briefing

EDHEC-Risk Institute study reveals the inefficiency of Asian stock market indices

Wednesday, March 06, 2013

Beverly Chandler, Opalesque London: Researchers from the EDHEC-Risk Institute have reported the results of a study entitled "Assessing the Quality of Asian Stock Market Indices," which examined results for 10 major Asian stock market indices over the past decade.

Written by Narasimhan Padmanaban, Masayoshi Mukai, Lin Tang and Véronique Le Sourd, the team comments that indexation continues to play an important role in global asset allocation. "Total worldwide assets under internal indexed management rose to $5.994 trillion as of June 30, 2011, a 25% increase over $4.781 trillion as of one year earlier (Olsen 2011). In addition, the market for exchange-traded funds (ETFs), which are liquid tracking vehicles for standard indices, has grown at an annual rate of 30% over the last three years globally, and is currently estimated to be around $1.4 trillion worldwide according to Deutsche Bank. In Asia, total ETF assets increased by 20-30% annually post 2008 and the number of products have gone up by more than 200%. Currently the total ETF assets in the Asia-Pacific region are estimated at approximately $81 billion (Blackrock 2010)." With this evidence of an increasing interest in indexing management and investing directly in tracking products for standard market indices, both globally and in Asia, the researchers observed that there was little analysis of......................

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