Despite the soaring popularity of exchange-traded funds (ETFs), ETFs may find it difficult to replicate the returns of their underlying index under changing market conditions. The objective of this study is to examine the performance of South African ETFs under bullish and bearish market conditions. This paper employs a single index Markov Switching model to examine the tracking efficiency of a sample of ETFs tracking the FTSE/JSE Top 40 (J200) index from 27 November 2000 until 31 July 2019. The findings suggest that, on average, ETFs are more responsive to fluctuations in their underlying index during bullish market conditions and they display a higher tracking error during bearish market conditions. Thus, our findings support the notion that ETF performance differs across market regimes, implying that ETF fund managers should disclose their betas across different market conditions so that ETF investors and traders can adequately evaluate their risk exposures in each market condition.

尽管交易所交易基金 (ETF) 越来越受欢迎，但 ETF 可能会发现很难在不断变化的市场条件下复制其基础指数的回报。本研究的目的是检查南非 ETF 在看涨和看跌市场条件下的表现。本文采用单一指数马尔可夫转换模型来检验追踪 2000 年 11 月 27 日至 2019 年 7 月 31 日期间 FTSE/JSE Top 40 (J200) 指数的 ETF 样本的追踪效率。研究结果表明，平均而言，ETF 的追踪效率更高。在看涨市场条件下响应其基础指数的波动，在看跌市场条件下显示更高的跟踪误差。因此，我们的研究结果支持 ETF 表现因市场机制而异的观点，