Abhigyan

Nidhi Malhotra ¹, Harsh Purohit ², Deepak Tandon ³

Affiliations
1 Banarsidas Chandiwala Institute of Professional Studies, Dwarka, New Delhi, IN
2 Banasthali Vidyapith, Rajasthan, IN
3 International Management Institute, New Delhi, IN

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.

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Harsh Purohit ¹, Vibha Dua Satija ², Sakshi Saxena ³

Affiliations
1 School of Management Studies, Banasthali Vidyapith, Rajasthan, IN
2 Institute of Marketing and Management, Delhi, IN
3 WISDOM, School of Management Studies, Banasthali Vidyapith, Rajasthan, IN

Abstract

Volatility in financial markets across world is always a major cause of concern for participants in markets; be it entrepreneurs, investment managers, brokers, and individual investors. History reveals that irrationalities in investment behaviouris the major contributor to the booms and busts in the market. Ludicrousness exists in financial markets due to biased human behaviour. Herding is one such behavioural anomaly which defies Efficient Market Hypothesis.The present study focuses upon review of existing literature about herding behaviour in stock markets and attempts to investigate the existence of herding behaviour in India by employing CSAD methodology. Various studies done on herding behaviour has been considered to find out whether stock market supports herding behaviour or not.

Keywords

Behavioural Finance, Herding, Dispersion, Linearity, Non-Linearity.

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