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Authors
Affiliations
1 Research Scholar, Indira Gandhi University, Meerpur-Rewari, Haryana, IN
2 Assistant Professor, Indira Gandhi University, Meerpur-Rewari, Haryana, IN
3 Student, Indira Gandhi University, Meerpur-Rewari, Haryana, IN
Source
Abhigyan, Vol 41, No 3 (2023), Pagination: 21-31
Abstract
The research article examines the performance of the five most traded equity ETFs on the basis of disintegration hypotheses and tracking errors. The study tests the disintegration hypotheses with respect to the most recent COVID-19 crisis. The study does not support the disintegration hypotheses in the case of Indian ETFs. It is discovered that 3 out of 5 ETFs are consistently co-integrated with their underlying index before, during, and after the COVID-19 financial crisis. Additionally, it was discovered that, prior to the financial crisis, 2 out of 5 were not co-integrated with their underlying index. However, during the financial crisis, only one ETF was not co-integrated with its benchmark index. However, after the pandemic crisis period, all the ETFs are co-integrated with the benchmark index. Moreover, during the financial crisis, the tracking error of these five exchange-traded funds increased and became more volatile compared to the pre-crisis and post-crisis periods.
Keywords
Tracking Error, Equity ETFs, Nifty50, COVID-19, Disintegration Hypotheses JEL Classification: G01, G11, G14
