PT  - JOURNAL ARTICLE
AU  - G. Aditya
AU  - Ruchir Desai
TI  - Pricing Efficiency and Price Discovery of Indian Equity ETFs
AID  - 10.3905/jii.2015.6.3.067
DP  - 2015 Nov 30
TA  - The Journal of Index Investing
PG  - 67--79
VI  - 6
IP  - 3
4099  - https://pm-research.com/content/6/3/67.short
4100  - https://pm-research.com/content/6/3/67.full
AB  - An exchange-traded fund (ETF) is a financial asset that tracks a chosen index and trades continuously throughout the day. The price differential between the market price and net asset value (NAV) of the ETF creates risk-free arbitrage opportunities. This article captures the pricing efficiency and price discovery process using autoregressive analysis model and a vector error correction model (VECM). The study concludes that the Indian ETF market displays a lack of price efficiency. Except for two ETFs, the NAV of the ETF has been the lead indicator for ETFs.TOPICS: Exchange-traded funds and applications, statistical methods, emerging