An Investigation of Pricing Efficiency of CPSE ETF in India
Published: 2018
Author(s) Name: Pardeep Kumar |
Author(s) Affiliation: Research Scholar, UBS, Panjab University, Chandigarh, India.
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Abstract
The study empirically examines the pricing efficiency of CPSE ETF in India, listed on National Stock Exchange (NSE). The study covers a period of three years i.e. from 1st April, 2014 to 31st March, 2017. For the purpose of analysis the study employs different statistical tools. Simple linear regression is used to test the relationship between NAV of ETF and price of ETF. Further rupee difference and percentage difference is calculated to find out the price deviation i.e. premium or discount. Descriptive statistics were also used for the purpose of analysis. The regression result suggests a very close relationship between the NAV of CPSE ETF and its market price. During the study period, on average CPSE ETF was traded at discount. But the discount was economically insignificant and does not provide arbitrage opportunity to the market participant. It was concluded that market for CPSE ETF is price efficient.
Keywords: Exchange Traded Funds, Regression, Pricing Efficiency, Premium or Discount
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