Arbitrage with Exchange-traded Funds: A Case of E1VFVN30 Based on Intraday Data

Huyen Phuong Do (), Bich Ngoc Do (), Tra My Nguyen () and Thinh Vu Duy ()
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Huyen Phuong Do: Vietnam National University, Hanoi - International School, Hanoi, Vietnam
Bich Ngoc Do: International Business - Marketing School - University of Economics Hochiminh City, Hochiminh City, Vietnam
Tra My Nguyen: School of Business and Management, RMIT University, Hanoi City, Vietnam
Thinh Vu Duy: Independent Researcher, Hanoi, Vietnam

Economic Research Guardian, 2021, vol. 11, issue 1, 130-143

Abstract: This paper explores the arbitrage opportunity of exchange-traded fund (ETF) specifically on Vietnamese stock market. The intraday data of the first local ETF, VNMVN30 on HOSE – Hochiminh stock market has been tracked and analyzed for one month. The findings reveal that the VNMVN30 ETF has a small deviation in price. This deviation is persistent with low change level between one-minute intervals. This outcome contributes to current literature of arbitrage opportunities in emerging markets. Furthermore, as a practical contribution, the investors in ETF investment will significantly benefit as this paper suggests a pattern of VNMVN30 ETF in a day and estimates transaction costs related to arbitrage strategies of E1 VFN30.

Keywords: Intraday; Arbitrage opportunity; Exchange-traded fund (ETF); E1VFVN30; Vietnam (search for similar items in EconPapers)
JEL-codes: E44 G12 G14 (search for similar items in EconPapers)
Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:wei:journl:v:11:y:2021:i:1:p:130-143

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