Intraday arbitrage opportunity of exchange-traded fund - A case of e1vfvn30 fund
This paper focuses on investigating pricing efficiency or arbitrage opportunity of ETF in the context of Vietnam's stock market. By employing intraday data of the first local Vietnam-based ETF (VFMVN30 ETF - the fund that tracks performance of VN30 Index) listed on Ho Chi Minh stock exchange (H...
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| Format: | Final Year Project |
| Language: | Vietnamese |
| Published: |
2020
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| Online Access: | http://repository.vnu.edu.vn/handle/VNU_123/98152 |
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| Institution: | Vietnam National University, Hanoi |
| Language: | Vietnamese |
| Summary: | This paper focuses on investigating pricing efficiency or arbitrage opportunity of ETF in the context of Vietnam's stock market. By employing intraday data of the first local Vietnam-based ETF (VFMVN30 ETF - the fund that tracks performance of VN30 Index) listed on Ho Chi Minh stock exchange (HOSE) for a period of one month, specifically September 2018. The goal of this research is to uncover whether price of Vietnam-based ETF is highly efficient. The results of this research illustrate pricing of VNMVN30 ETF is quite efficient with small price deviation which is close to zero. The existence of price deviation is persistent and the change within one-minute interval is insignificant. From the conclusion, we are able to see the pattern of trading VNMVN30 ETF in a day. Moreover, this paper also estimated the transaction costs relating to arbitrage strategies in the case of E1VFN30 and found out that the price deviation of E1VFVN30 is hard to attract investors to invest when it is economically insignificant compared to costs involved in trading El VFN30. |
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