| SMART JOURNAL OF BUSINESS MANAGEMENT STUDIES |
VOL. 12 |
NO. 2 |
PAPER 3 |
DOI: 10.5958/2321-2012.2016.00010.5 |
A STUDY ON THE RELATIONSHIP BETWEEN PRICE AND NET ASSET VALUE OF THE EXCHANGE TRADED FUNDS IN INDIA
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| Dharani Munusamy*
Vijayakumar Narayanamurthy** and Muruganandam Sivanmalaiappan***
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| * Assistant Professor, Department of Finance, ICFAI University, Hyderabad
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| ** Assistant Professor (SG), PSG Institute of Management, Coimbatore, Tamil Nadu
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| *** AAssistant Professor, PG Department of Commerce, SDM College (Autonomous), Karnataka |
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| The study examines the causal relationship between daily price return and Net Asset Value (NAV) of the Exchange Traded Funds (ETF), from the listing date of each ETF to December 2013. The study employed Augmented Dickey Fuller (ADF) Unit Root Test and Granger Causality Test. The study found that the daily time series of the Price and NAV of the selected ETFs were stationary in the first difference and the causality test revealed the existence of bidirectional relationship between them. |
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