Analysis of ETF pricing efficiency in China

Název práce: Analysis of ETF pricing efficiency in China
Autor(ka) práce: Wang, Zhao
Typ práce: Diploma thesis
Vedoucí práce: Brůna, Karel
Oponenti práce: Šíma, Ondřej
Jazyk práce: English
Abstrakt:
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.
Klíčová slova: Pricing Efficiency; Autoregression; Exchange Traded Funds; Premium/Discount; T test
Název práce: Analysis of ETF pricing efficiency in China
Autor(ka) práce: Wang, Zhao
Typ práce: Diplomová práce
Vedoucí práce: Brůna, Karel
Oponenti práce: Šíma, Ondřej
Jazyk práce: English
Abstrakt:
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.
Klíčová slova: Premium/Discount; Exchange Traded Funds; T test; Autoregression; Pricing Efficiency

Informace o studiu

Studijní program / obor: Finance and Accounting
Typ studijního programu: Magisterský studijní program
Přidělovaná hodnost: Ing.
Instituce přidělující hodnost: Vysoká škola ekonomická v Praze
Fakulta: Fakulta financí a účetnictví
Katedra: Katedra měnové teorie a politiky

Informace o odevzdání a obhajobě

Datum zadání práce: 17. 11. 2019
Datum podání práce: 4. 1. 2021
Datum obhajoby: 2021

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