 An analysis of pricing efficiency of exchange traded funds in India using ARDL bounds test approachBuvanesh Chandrasekaran and Rajesh H. Acharya Afro-Asian Journal of Finance and Accounting, 2021, vol. 11, issue 4, 607-633 Abstract: This paper analyses the pricing efficiency of exchange traded funds (ETFs) in India. In order to achieve the objective, the study employs the autoregressive distributed lag (ARDL) model - bounds test approach. The study includes 14 equity ETFs for the time period from the inception date of each ETF to December 2016. An attempt has been made to establish long-run relationship between the closing price of ETFs and closing index values using ARDL model. The study also analyses the research question in the presence of single and multiple structural breaks. Empirical results of the study show that the absolute pricing deviation is relatively small in the case of ETFs. Most of the ETFs have long-run relationship with the underlying index. The study confirms structural breaks in the ETF closing price time series. With the introduction of structural breaks, increase in the size of statistically significant long-run coefficients indicates an improvement in the speed of correction to the equilibrium level. Keywords: pricing efficiency; exchange traded funds; ETFs; autoregressive distributed lag; ARDL; structural breakpoint; India. (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:ids:afasfa:v:11:y:2021:i:4:p:607-633 Access Statistics for this article More articles in Afro-Asian Journal of Finance and Accounting from Inderscience Enterprises Ltd |
Is your work missing from RePEc? Here is how to contribute.
Questions or problems? Check the EconPapers FAQ or send mail to .
EconPapers is hosted by the
School of Business at Örebro University.