A Study On Tracking Error Of ETF In China

Since Shanghai stock 50 ETF established in China on Dec., 30,2004,lots of investors began to paid more attention on ETF and focused on it.The paper examines the tracking error of Shanghai stock 50 ETF using 3methods, including Tracking difference, Tracking error and Regressionanalysis. The empirical results show that Shanghai stock 50 ETF, withmore advantages, has achieved the investment goal in the past year.However, the sample is so limited, how about the result in the long periodwill depend on its development. In the end of the paper, it puts out severalsuggestions to improve the tracking error.