Pricing Efficiency of Exchange Traded Funds in India

IF 0.9 Q3 ECONOMICS

Organizations and Markets in Emerging Economies Pub Date : 2020-05-29 DOI:10.15388/omee.2020.11.33

Y. Reddy, P. Dhabolkar, Vidya Prabhodini

引用次数: 1

Abstract

Exchange traded funds (ETFs) have two prices, the market price and the net asset value (NAV) price. ETFs NAV price gets determined by the net value of the constituent assets, whereas the market price of ETFs depends upon the number of units bought or sold on the stock exchange during trading hours. As per the law of one price, the NAV and market price of the ETF should be the same. However, due to demand and supply forces, the market price may divert from its NAV. This price difference may have significant repercussions to investors, as it represents a cost if they buy overvalued ETF shares or sell undervalued ETF shares. Pricing efficiency is the speed at which the market makers correct the deviations between ETFs NAV and market price. The present study attempts to investigate the pricing efficiency of Indian equity ETFs employing an autoregression model over its price deviation, and also attempts to understand the lead-lag relationship between the price and NAV using the vector error correction model (VECM).

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印度交易所交易基金的定价效率

交易所交易基金（ETF）有两种价格，市场价格和资产净值（NAV）价格。ETF的NAV价格由组成资产的净值决定，而ETF的市场价格取决于交易时间内在证券交易所买卖的单位数量。根据一个价格定律，ETF的资产净值和市场价格应该是相同的。然而，由于需求和供应的力量，市场价格可能会偏离其NAV。这种价格差异可能会对投资者产生重大影响，因为如果他们购买估值过高的ETF股票或出售估值过低的ETF股票，这将是一种成本。定价效率是指做市商纠正ETF NAV和市场价格之间偏差的速度。本研究试图使用自回归模型研究印度股票ETF的定价效率及其价格偏差，并试图使用向量误差校正模型（VECM）了解价格与NAV之间的超前-滞后关系。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Organizations and Markets in Emerging Economies ECONOMICS-

CiteScore

1.60

自引率

0.00%

发文量

审稿时长

20 weeks

期刊介绍： The journal aims to contribute to the development and dissemination of multidisciplinary knowledge on organizations and markets in emerging economies, to increase dialogue among scholars focused on a specific emerging economy or region and to encourage and give an outlet to high quality scholarship, both local and international, to this subject. Organizations and Markets in Emerging Economies welcomes analysis of emerging economies from the perspectives of organizational sciences, marketing, economics, finance and related disciplines. The journal appreciates studies that highlight specificities and patterns that occur in emerging economies and develop new empirical and theoretical knowledge on the subject.