*Assistant Professor, Department of Finance, ICFAI Business School, ICFAI University, Hyderabad-501203, India. E-Mail: mdharani85@gmail.com
**Assistant Professor (SG), PSG Institute of Management, Coimbatore-14. E-Mail: nvkvijay@gmail.com
***Assistant Professor, PG, Department of Commerce, SDM College (Autonomous) Ujire, Mangalore, Karnataka-574 240. E. Mail: achieveranand@gmail.com
JEL: C58, C87, G11
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 for Price and NAV 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.
Exchange Traded Fund, Net Asset Value, Unit Root and Causality
