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Arbitrage opportunities in exchange traded funds: evidence from Nippon Life India Asset Management Limited

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  • Monika Dahiya
  • D.P. Warne

Abstract

This study examines the pricing efficiency of seven equity Exchange Traded Funds (ETFs) of the Nippon Life India Asset Management Limited listed on NSE. This research spans five years, from 1 April 2017 to 31 March 2022. The study focuses on the endurance of premium or discount that results from the deviation between the NAV and closing price of ETFs. The results of the t-test show that there is a significant association between the mean of Premium and Discount. Further, the results of regression analysis show that there are arbitrage opportunities that prevail in the market for which a maximum of four days and a minimum of two days are required to disappear these price deviations between NAV and closing price series. The findings of this study have significance for investors, market regulators and policymakers. The insights gained from this research may be used to shape the development of more efficient market structures and trading strategies, contributing to the enhancement of a more robust financial system.

Suggested Citation

  • Monika Dahiya & D.P. Warne, 2026. "Arbitrage opportunities in exchange traded funds: evidence from Nippon Life India Asset Management Limited," International Journal of Diplomacy and Economy, Inderscience Enterprises Ltd, vol. 12(2), pages 219-233.
    • Handle: RePEc:ids:ijdipe:v:12:y:2026:i:2:p:219-233
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