RT Journal Article SR Electronic T1 Pricing Efficiency and Price Discovery of Indian Equity ETFs JF The Journal of Index Investing FD Institutional Investor Journals SP 67 OP 79 DO 10.3905/jii.2015.6.3.067 VO 6 IS 3 A1 G. Aditya A1 Ruchir Desai YR 2015 UL https://pm-research.com/content/6/3/67.abstract 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