Global Finance Journal ( IF 5.5 ) Pub Date : 2021-07-13 , DOI: 10.1016/j.gfj.2021.100654 Garima Goel 1 , Eshan Ahluwalia 2
We examine the pricing efficiency of domestic exchange-traded funds (ETFs) in the Indian equity market where growth co-exists with operating inefficiencies. The ETFs, on average, outperform their fund benchmarks, but the magnitudes of the premium (discount) and tracking error are considerably higher for a synchronously traded market. Among the ETF categories based on fund benchmarks, thematic and broad market ETFs have higher tracking errors and discounts than strategy and sectoral ETFs. We find a nonsignificant negative relationship between discount and redemption units, implying that the creation/redemption process remains unaffected by the prevailing discount in the market. Despite low arbitrage constraints, market participants fail to curtail the prevailing tracking error and discount. This study highlights the operational constraints of arbitrageurs in the Indian ETF market.
中文翻译:
印度股票 ETF 市场的定价效率是否会影响其表现?
我们研究了印度股票市场上国内交易所交易基金 (ETF) 的定价效率,在该市场中,增长与运营效率低下并存。平均而言,ETF 的表现优于其基金基准,但对于同步交易市场而言,溢价(折价)和跟踪误差的幅度要高得多。在基于基金基准的 ETF 类别中,主题和大盘 ETF 比策略和部门 ETF 具有更高的跟踪误差和折扣。我们发现折扣和赎回单位之间存在不显着的负相关,这意味着创建/赎回过程不受市场现行折扣的影响。尽管套利约束较低,但市场参与者未能减少普遍存在的跟踪误差和折扣。