%0 Journal Article %A G. Aditya %A Ruchir Desai %T Pricing Efficiency and Price Discovery of Indian Equity ETFs %D 2015 %R 10.3905/jii.2015.6.3.067 %J The Journal of Index Investing %P 67-79 %V 6 %N 3 %X 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 %U https://jii.pm-research.com/content/iijindinv/6/3/67.full.pdf