The Tracker Fund of Hong Kong, the first launched exchange-traded fund in Asia except Japan, aims to track the performance of the Hang Seng Index. This article examines the fund's characteristic via investigating the intraday and intraweek patterns of the fund's premiums. Empirical results...

Potential gains from international diversification depend upon the degree of market integration. This paper compares the degree of market integration before and after the stock crash in October 1987 and tests whether the results differ across different investment horizons. Empirical results show...