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IMF Working paper-The Curious Case of the Yen as a Safe Haven Currency: A Forensic Analysis
November 6, 2013--Summary: During risk-off episodes, the yen is a safe haven currency and on average appreciates against the U.S. dollar. We investigate the proximate causes of yen risk-off appreciations.
We find that neither capital inflows nor expectations of the future monetary policy stance can explain the yen's safe haven behavior. In contrast, we find evidence that changes in market participants' risk perceptions trigger derivatives trading, which in turn lead to changes in the spot exchange rate without capital flows. Specifically, we find that risk-off episodes coincide with forward hedging and reduced net short positions or a buildup of net long positions in yen. These empirical findings suggest that offshore and complex financial transactions should be part of spillover analyses and that the effectiveness of capital flow management measures or monetary policy coordination to address excessive exchange rate volatility might be limited in certain cases.
view the IMF Working paper-The Curious Case of the Yen as a Safe Haven Currency: A Forensic Analysis
Vanguard expands ETF offering
November 1, 2013--Vanguard Australia is expanding its line-up with the lowest cost global emerging markets (EM) exchange traded fund (ETF) on offer on the Australian Securities Exchange (ASX).
The Vanguard FTSE Emerging Markets Shares Exchange Traded fund -listed under the ticker code VGE- has a low-cost expense ratio of 48 basis points and will track the return of the FTSE Emerging Index.
JPX JGB Futures Volatility Index (tentative calculation)
November 1, 2013--Index Outline
Tokyo Stock Exchange, Inc. (TSE) will start calculating and publishing a new index, the "JPX JGB Futures Volatility Index," from November 1, 2013. The index aims to indicate the volatility of 10-year Japanese Government Bond futures contracts.
The JPX JGB Futures Volatility Index will be calculated based on the settlement prices of JGB futures options contracts listed on TSE, and it will indicate the future volatility of 10-year JGB futures contracts. The index aims to serve as a benchmark of market estimates of future 10-year JGB futures market volatility over a certain period of time by aggregating the settlement prices of all strike prices with a certain time to expiry.
Horizons KOSPI 200 ETF Becomes Lowest-Fee Korean ETF in Hong Kong
October 31, 2013--The Horizons Exchange Traded Funds Series ("Horizons ETFs Series") will reduce fees of its Horizons KOSPI 200 ETF (Stock Code: 2835.HK) ("KOSPI 200 ETF") by over 85% with immediate effect, a move driven by the success of the low-cost fee structure that was first offered to the Hong Kong market through its two new ETFs launched in June.
The management fee of the KOSPI 200 ETF will be lowered from "up to 0.35% per annum" to "up to 0.05% per annum", and the total expense ratio ("TER") will be reduced accordingly from an estimated 0.6% per annum to 0.29% per annum. The KOSPI 200 ETF will offer the lowest fees amongst Korean index ETFs in Hong Kong that have management fees and TERs averaging 0.40% and 0.58% respectively1. Its TER will now become the fourth lowest amongst all Equity ETFs listed on the Hong Kong Stock Exchange2
Indian shares close at record high
October 30, 2013--Indian shares ended Wednesday at their highest-ever closing level, beating the previous record set in 2010, on strong foreign fund inflows and an easing of global concerns.
The Bombay Stock Exchange benchmark Sensex index closed up 0.50% or 104.96 points at 21 033.97 points, led by telecom and banking stocks.
SGX launches drive to attract more electronic trade
October 29, 2013--Singapore is set to become one of the last major Asian equities markets to embrace high-frequency trading after SGX, the city-state's exchange, said it was considering offering financial incentives to encourage electronic market-makers.
Chew Sutat, executive vice-president for sales and clients at SGX, said the exchange was considering fee rebates and other incentives to attract such traders. Fee rebates are commonly offered by exchanges to generate interest from market-makers such as Getco, Optiver and IMC.
Cyclical Sector and Defensive Sector Series Indices Issued
October 29, 2013--Shenzhen Stock Exchange (SZSE) and Shenzhen Securities Information Co., Ltd. recently announced to issue SZSE Cyclical Sector 50 Index (Code: 399670,Abbreviation: SZSE Cyclical 50), SZSE Defensive Sector 50 Index (Code: 399671, Abbreviation: SZSE Defensive 50), CNI Cyclical Sector 100 Index (Code: 399402, Abbreviation: Cyclical 100), and CNI Defensive Sector 100 Index (Code: 399403, Abbreviation: Defensive 100) on October 28, 2013.
All 4 indices take December 31, 2004 as the base date and 1000 points as the base value.
Stocks with strongest cyclical feature and those with weakest cyclical features are selected from Shenzhen Market and A-share Market respectively to compose SZSE, CNI Cyclical and Defensive indices, which are immune to the disturbance of unsteady cyclical features, and which are prominent reflections of aggressive and defensive sectors.
DB Synthetic Equity & Index Strategy-Asia-Pac Weekly ETF Market Review-Japan focused ETFs bring +$0.7bn inflows
October 29, 2013--Data in this report is as of 25 October 2013
Market Review
Last week, major Asian equity markets were down, except Singapore and Australia, amid stronger yen, falling US dollar against Euro and worries over tighter cash markets in China. Compared to the week before, from north to south:
Japan (Nikkei 225)-3.25%
South Korea (KOSPI2)-1.38%
China (CSI 300)-2.37%
Hong Kong (HSI)-2.75%
Singapore (FSSTI) +0.39%
Australia (S&P/ASX 200) +1.22%
New Product Launch Review
Last week, two new ETFs were launched in the Asia-Pacific ETP market. Dacheng Fund Management listed one equity ETF (159932 CH) on Shenzhen Stock Exchange providing exposure to Shenzhen listed stocks of the CSI 500 Index. E Fund Management listed one equity ETF (3120 HK) on Hong Kong Exchange tracking CES China 120 Index. This is the ninth RQFII ETF launched in the Asia-Pacific ETP market.
ETP Weekly Flows -Japan and South Korea ETFs witness inflows
Last week, Asia-Pacific ETP market recorded inflows of +$850mn vs.-$598mn of outflows for the previous week, setting the YTD weekly flows average at +$317mn (+$13.6bn YTD in total flows). Developed (DM) and emerging markets (EM) focused ETFs both received inflows of +$711mn and +$279mn respectively. On a country level, ETFs providing exposure to Japan and South Korea collected +$721mn and +$474mn of inflows while China focused ETFs lost-$108mn in outflows. Leveraged long strategy ETFs saw redemptions of-$159mn during for the last week.
Winners and losers: At ETP level, Daiwa Nikkei 225 ETF (1320 JP), Samsung KODEX 200 ETF (069500 KS) Nomura Nikkei 225 ETF (1321 JP) were the largest cash flow receivers of the week collecting +$429mn, +$274mn and +$259mn respectively. Over the same period, biggest outflows were experienced by Daiwa Topix ETF (1305 JP), Hang Seng H-Share Index ETF (2828 HK) and Samsung KODEX Leverage ETF (122630 KS) recording-$151mn,-$126mn and-$114mn of outflows respectively.
Turnover Review-Floor activity up by 25.3%
Asia-Pacific ETP turnover totaled $12.7bn for the last week. Japan took the lead in the turnover ranking with $4.3bn turnover, followed by China ($3bn), South Korea ($3bn) and Hong Kong ($2bn). Among equity ETFs, Emerging country, leveraged long, Asia-Pacific developed country and short ETFs had total turnover of $4.9bn, $3.9bn, $1.8bn and $0.6bn respectively. Within fixed income asset class, turnover in sovereign and money market ETFs totaled $681mn and $114mn respectively.
Assets under Management Review- Assets decreased by $2.4bn
Last week, Asia-Pacific ETP AUM decreased by $2.4bn and ended the week at $163.8bn. On a year-to-date basis, Asia-Pacific ETP market is up by $27.8bn or 20.5% above last year's closing.
Lonsec approves Market Vectors Aust ETFs
October 29, 2013--Market Vectors Australia's four new exchange-traded funds (ETF) have received an investment-grade rating by research house Lonsec.
The rating indicated Lonsec had conviction the ETFs could achieve their objectives, with the report making favourable mention of their transparency and targeted exposure to their specific Australian economic sectors.
Asian insurers eye ETFs, hedge funds, property
October 28, 2013- In anticipation of the US Federal Reserve curtailing QE, Asian insurers are seeking to diversify portfolios
and shift away from benchmark...
