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Zhao Wang

Master's thesis

Analysis of ETF pricing efficiency in China

Analysis of ETF pricing efficiency in China
Abstract:
The study empirically examines the pricing efficiency of china 15 ETFs, trading on the Shanghai and Shenzhen stock exchange. The study covers a period of five years from 31st Dec,2015 to 31st Dec,2019. For the purpose of china ETF price efficiency analysis, the study utilizes different statistical tools. T test is used to test the material deviation between the pricing of the ETF and the ETFs Net Asset …more
Abstract:
The study empirically examines the pricing efficiency of china 15 ETFs, trading on the Shanghai and Shenzhen stock exchange. The study covers a period of five years from 31st Dec,2015 to 31st Dec,2019. For the purpose of china ETF price efficiency analysis, the study utilizes different statistical tools. T test is used to test the material deviation between the pricing of the ETF and the ETFs Net Asset …more
 

Keywords

Premium/Discount Exchange Traded Funds T test Autoregression Pricing Efficiency

Keywords

Pricing Efficiency Autoregression Exchange Traded Funds Premium/Discount T test
 
Language used: English
Date on which the thesis was submitted / produced: 17. 11. 2019
Identifier: https://vskp.vse.cz/eid/82285

Thesis defence

  • Date of defence: 27. 1. 2021
  • Supervisor: Karel Brůna
  • Reader: Ondřej Šíma

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https://vskp.vse.cz/eid/82285