Investigating the Analysis of Pricing Efficiency in Exchange Tradable Funds (ETFs) from the Tehran Stock Exchange

Document Type : Original Article

Authors
Mohsen Imeni 1
Meysam Kaviani 2
1 Department of Accounting, Ayandegan Institute of Higher Education, Tonekabon, Iran
2 Department of Finance and Accounting, Karaj Branch, Islamic Azad University, Karaj, Iran
10.30495/jik.2024.69832.4093
Abstract
Exchange-traded fund (ETF) is considered an important innovation in the global financial markets. It was first launched in the Canadian stock market and then introduced in the American market. In our country, the turning point of launching investment funds is a decade ago. The purpose of this research is to investigate the pricing efficiency of ETFs with the approach of positivism-comparative research philosophy in which data are collected, analyzed and interpreted to examine the answers to the questions. Ordinary Least Squares regression has been used to analyze pricing efficiency and its sustainability. In this research, six exchange-traded funds have been used as a statistical sample. The data used on a daily basis is related to the years 2016 to 2021. The results of the research show that ETFs in the stock market of our country are not designed in a suitable way for investors in terms of diversity, and probably due to the low volume of transactions and the delay of market prices in reflecting the net asset value, it still does not have a good marketability. These funds are traded at an average value lower than their NAVs, and the deviation of ETF prices from NAV for some funds does not disappear until the second and third day. Also, the results showed that between the trading volume of government ETFs and volatility; and there has been a significant positive relationship between ETF returns and simultaneous deviations, and finally a significant negative relationship between returns and intermittent deviations.
Keywords
Efficiency
Pricing
ETF
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