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Arbitrage with Exchange-traded Funds: A Case of E1VFVN30 Based on Intraday Data

Author

Listed:
  • Huyen Phuong Do

    (Vietnam National University, Hanoi - International School, Hanoi, Vietnam)

  • Bich Ngoc Do

    (International Business - Marketing School - University of Economics Hochiminh City, Hochiminh City, Vietnam)

  • Tra My Nguyen

    (School of Business and Management, RMIT University, Hanoi City, Vietnam)

  • Thinh Vu Duy

    (Independent Researcher, Hanoi, Vietnam)

Abstract

This paper explores the arbitrage opportunity of exchange-traded fund (ETF) specifically on Vietnamese stock market. The intraday data of the first local ETF, VNMVN30 on HOSE – Hochiminh stock market has been tracked and analyzed for one month. The findings reveal that the VNMVN30 ETF has a small deviation in price. This deviation is persistent with low change level between one-minute intervals. This outcome contributes to current literature of arbitrage opportunities in emerging markets. Furthermore, as a practical contribution, the investors in ETF investment will significantly benefit as this paper suggests a pattern of VNMVN30 ETF in a day and estimates transaction costs related to arbitrage strategies of E1 VFN30.

Suggested Citation

  • Huyen Phuong Do & Bich Ngoc Do & Tra My Nguyen & Thinh Vu Duy, 2021. "Arbitrage with Exchange-traded Funds: A Case of E1VFVN30 Based on Intraday Data," Economic Research Guardian, Weissberg Publishing, vol. 11(1), pages 130-143, June.
    • Handle: RePEc:wei:journl:v:11:y:2021:i:1:p:130-143
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    Intraday; Arbitrage opportunity; Exchange-traded fund (ETF); E1VFVN30; Vietnam;
    All these keywords.

    JEL classification:

    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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