FACTORS AFFECTING THE RETURNS OF DOMESTIC INDEX-BASED EXCHANGE TRADED FUNDS (ETFS) LISTED ON THE STOCK EXCHANGE OF THAILAND

Abstract

This research aims to investigate the factors affecting the returns of domestic index-based Exchange Traded Funds (ETFs) listed on the Stock Exchange of Thailand. The study analyzes six equity ETFs with a fund age of at least five years, using monthly secondary data from 2020 to 2024. Ten independent variables were examined, namely Sharpe Ratio, Tracking Error, Total Expense Ratio (TER), Bid-Ask Spread, Trading Volume, Turnover Ratio, Assets Under Management (AUM), Fund Flow, % Premium/Discount, and Fund Age. The results show that five variables have a statistically significant impact on ETF returns: Sharpe Ratio, TER, AUM, % Premium/Discount, and Fund Age. Specifically, Sharpe Ratio and AUM have positive relationships with returns, while TER, % Premium/Discount, and Fund Age are negatively associated. These findings are consistent with the Modern Portfolio Theory (MPT), Efficient Market Hypothesis (EMH), and the Liquidity-Size Hypothesis. The results underscore the importance of performance efficiency, cost structure, fund characteristics, and market behavior in determining ETF performance, providing valuable insights for investors and fund managers in making informed investment decisions.