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Authors
Affiliations
1 Banarsidas Chandiwala Institute of Professional Studies, Dwarka, New Delhi, IN
2 Banasthali Vidyapith, Rajasthan, IN
3 International Management Institute, New Delhi, IN
Source
Abhigyan, Vol 34, No 3 (2016), Pagination: 1-12
Abstract
The paper investigates whether Exchange Traded Funds (ETFs) trade away from their Net Asset Value (NAV), the relationship between traded volume, intraday volatility and whether the pricing deviation impacts future returns. It is observed that closing price deviates from NAV and resulting pricing inefficiency persists for three days on an average. Further, significant positive relationship is observed between return and contemporaneous premium and significant negative relationship with lagged premium, indicating a violation of efficient market hypothesis. Also, significant positive relationship is observed between volume and intraday volatility of ETFs and not index and insignificant negative relationship with lagged absolute premium.
Keywords
Exchange Traded Funds, Net Asset Value, Pricing Efficiency, Premium, Intraday Volatility.
