Analysis of ETF pricing efficiency in China
| Thesis title: | Analysis of ETF pricing efficiency in China |
|---|---|
| Author: | Wang, Zhao |
| Thesis type: | Diploma thesis |
| Supervisor: | Brůna, Karel |
| Opponents: | Šíma, Ondřej |
| Thesis language: | English |
| 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. |
| Keywords: | Pricing Efficiency; Autoregression; Exchange Traded Funds; Premium/Discount; T test |
| Thesis title: | Analysis of ETF pricing efficiency in China |
|---|---|
| Author: | Wang, Zhao |
| Thesis type: | Diplomová práce |
| Supervisor: | Brůna, Karel |
| Opponents: | Šíma, Ondřej |
| Thesis language: | English |
| 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. |
| Keywords: | Premium/Discount; Exchange Traded Funds; T test; Autoregression; Pricing Efficiency |
Information about study
| Study programme: | Finance and Accounting |
|---|---|
| Type of study programme: | Magisterský studijní program |
| Assigned degree: | Ing. |
| Institutions assigning academic degree: | Vysoká škola ekonomická v Praze |
| Faculty: | Faculty of Finance and Accounting |
| Department: | Department of Monetary Theory and Policy |
Information on submission and defense
| Date of assignment: | 17. 11. 2019 |
|---|---|
| Date of submission: | 4. 1. 2021 |
| Date of defense: | 27. 1. 2021 |
| Identifier in the InSIS system: | https://insis.vse.cz/zp/71667/podrobnosti |