Analysis of ETF pricing efficiency in China

Zhao Wang

Master's thesis

Anotácia:

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 Value. Further autoregression analysis is used to find out the persistence of ETF pricing deviation. Descriptive statistics were also used for the purpose of ETF analysis. During the study period, on average china ETFs was traded at discount and The T test results suggests a pricing inefficiency in the china ETF market and the regression results suggest the ETF arbitrage existed in a long period. But there is no economical arbitrage exist in the market. It was concluded that china ETF market is price efficient.

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 Value. Further autoregression analysis is used to find out the persistence of ETF pricing deviation. Descriptive statistics were also used for the purpose of ETF analysis. During the study period, on average china ETFs was traded at discount and The T test results suggests a pricing inefficiency in the china ETF market and the regression results suggest the ETF arbitrage existed in a long period. But there is no economical arbitrage exist in the market. It was concluded that china ETF market is price efficient.

Kľúčové slová

Premium/Discount, Exchange Traded Funds, T test, Autoregression, Pricing Efficiency

Keywords

Pricing Efficiency, Autoregression, Exchange Traded Funds, Premium/Discount, T test

Jazyk práce: English

Datum vytvoření / odevzdání či podání práce: 17. 11. 2019

Obhajoba závěrečné práce

• Obhajoba proběhla 27. 1. 2021
• Vedúci: Karel Brůna
• Oponent: Ondřej Šíma

Vysoká škola ekonomická v Praze

Master programme:
Finance and Accounting