 Pricing Efficiency of Nifty BeES in Bullish and Bearish MarketsR. Shanmugham and Zabiulla Global Business Review, 2012, vol. 13, issue 1, 109-121 Abstract: This article examines the pricing efficiency of Nifty BeES in bullish and bearish market conditions using high frequency data for a period of seven years. It seeks to address three questions. First, does the portfolio manager of Nifty BeES follow its benchmark replication strategy across different market conditions? Second, whether the portfolio manager minimizes the portfolio return volatility relative to the benchmark volatility. Third, whether the magnitude of premiums/discounts varies in bullish and bearish market conditions. Our findings suggest a significant difference in alpha-generation abilities of fund manager between the two market conditions. Tracking error was found to be relatively high in bearish conditions. The average premium is higher in bearish markets characterized with highest volatility. On the other hand, the average discount is higher in bullish markets characterized with least volatility. The price divergence disappears within three days and the market price and the fund’s net asset value (NAV) get aligned due to arbitrage mechanism. Keywords: Exchange traded funds; pricing efficiency; tracking error; premium; discount; persistence (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:sae:globus:v:13:y:2012:i:1:p:109-121 DOI: 10.1177/097215091101300107 Access Statistics for this article More articles in Global Business Review from International Management Institute |
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