A STUDY ON THE RELATIONSHIP BETWEEN PRICE AND NET ASSET VALUE OF THE EXCHANGE TRADED FUNDS IN INDIA

被引：0

作者：

Munusamy, Dharani ^{[1
]}

Narayanamurthy, Vijayakumar ^{[2
]}

Sivanmalaiappan, Muruganandam ^{[3
]}

机构：

[1] ICFAI Univ, ICFAI Business Sch, Dept Finance, Hyderabad 501203, Andhra Pradesh, India

[2] PSG Inst Management, SG, Coimbatore 14, Tamil Nadu, India

[3] SDM Coll Autonomous, PG Dept Commerce, Mangalore 574240, Karnataka, India

来源：

SMART-JOURNAL OF BUSINESS MANAGEMENT STUDIES | 2016年 / 12卷 / 02期

关键词：

Exchange Traded Fund; Net Asset Value; Unit Root and Causality;

D O I：

10.5958/2321-2012.2016.00011.7

中图分类号：

C93 [管理学];

学科分类号：

12 ; 1201 ; 1202 ; 120202 ;

摘要：

The study examines the causal relationship between daily price return and Net Asset Value (NAV) of the Exchange Traded Funds (ETF), from the listing date of each ETF to December 2013. The study employed Augmented Dickey Fuller (ADF) Unit Root Test for Price and NAV and Granger Causality Test. The study found that the daily time series of the Price and NAV of the selected ETFs were stationary in the first difference and the causality test revealed the existence of bidirectional relationship between them.

引用

页数：9

共 50 条

[21] Spillover and leverage effect in Smart Beta Exchange Traded Funds: Evidence from India
Vijaya, C.
Thenmozhi, M.
DECISION, 2024, 51 (01) : 105 - 122
[22] Price Formation in Spot and Futures Markets: Exchange Traded Funds vs. Index Futures
Schlusche, Bernd
JOURNAL OF DERIVATIVES, 2009, 17 (02): : 26 - 40
[23] Levy models and long correlations applied to the study of exchange traded funds
Mariani, M. C.
Libbin, J. D.
Martin, K. J.
Ncheuguim, E.
Varela, M. P. Beccar
Mani, V. Kumar
Erickson, C. A.
Valles-Rosales, D. J.
INTERNATIONAL JOURNAL OF COMPUTER MATHEMATICS, 2009, 86 (06) : 1040 - 1053
[24] Performance of Exchange Traded Funds during the Brexit Referendum: An Event Study
Alkhatib, Akram
Harasheh, Murad
INTERNATIONAL JOURNAL OF FINANCIAL STUDIES, 2018, 6 (03):
[25] Empirical study on price discovery of exchange traded fund in China
Wang, Liang
Feng, Tao
Xitong Gongcheng Lilun yu Shijian/System Engineering Theory and Practice, 2010, 30 (03): : 396 - 407
[26] Price discovery between Bitcoin spot markets and exchange traded products
Gemayel, Roland
Franus, Tatiana
Bowden, James
ECONOMICS LETTERS, 2023, 228
[27] Relationship between value and price
Jorion, P
CANADIAN REVIEW OF SOCIOLOGY AND ANTHROPOLOGY-REVUE CANADIENNE DE SOCIOLOGIE ET D ANTHROPOLOGIE, 1999, 36 (01): : 37 - 63
[28] Use CARMa to Price Your Stock: Equity Risk Premiums Reinvented with Exchange-Traded Funds
Antczak, Stephen
JOURNAL OF PORTFOLIO MANAGEMENT, 2023, 49 (03): : 185 - 199
[29] Prediction of Turkish mutual funds’ net asset value using the fund portfolio distribution
Ümit Yılmaz
Âli Yurdun Orbak
Neural Computing and Applications, 2023, 35 : 18873 - 18890
[30] Risks from Investing in Open-Ended Mutual Funds - of Net Asset Value
Zebrowska-Suchodolska, Dorota
MONTENEGRIN JOURNAL OF ECONOMICS, 2023, 19 (04) : 19 - 29

← 1 2 3 4 5 →