Deviation of the market value of ETFs from the value of the included assets
https://doi.org/10.55959/MSU0130-0105-6-59-5-2
Abstract
The article examines the type of deviation of Russian ETF market value from the internal value of a similar portfolio of assets. Since the further task of identifying factors that significantly affect the deviation of the value of ETFs from the value of included assets is based on a type of deviation other than “«white noise»”, therefore, conducting this check is an important stage for market research. Thus, the purpose of the work is to test the possibility of decomposing deviations specified in the form of a difference or a ratio of costs into deterministic and random processes. At the same time, the deterministic component is most interesting for further research. As part of the work, the paper examines Russian and foreign prior studies on the description or analysis of ETF, with special attention to the works linking ETF and NAV in various markets. To check the deviation for belonging to the “«white noise»”, graphical analysis, analysis of correlograms and checking of time series for stationarity were carried out, as well as checking the deviation of the average from zero using the Student's t-test. Based on these checks, the hypothesis about the significance of deviations for the majority of the considered ETF was confirmed, that is, according to the results of the analysis, the hypothesis about the presence of random and deterministic parts in time series describing the deviation of the market value of Russian Exchange-traded Mutual Funds from the corresponding net asset value was confirmed. Therefore, this work is the starting point for further work concerning the analysis of the deviation in question. After the hypothesis is confirmed, attempts can be made to model dependencies and form trading strategies.
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For citations:
Andrianova A. Deviation of the market value of ETFs from the value of the included assets. Moscow University Economics Bulletin. 2024;(5):29-51. (In Russ.) https://doi.org/10.55959/MSU0130-0105-6-59-5-2
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