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Multi-frequency Price Discovery in ETF Markets: Futures, Spot, and Net Asset Value Dynamics

Author

Listed:
  • Tzu-Pu Chang
  • Jung-Che Tai
  • Yi-Chi Lin

Abstract

This study empirically investigates the price discovery mechanism within the Taiwanese Exchange-Traded Fund (ETF) market by examining the dynamic lead-lag relationships between ETF futures, spot prices, and Net Asset Value (NAV). Focusing on three major ETFs (Yuanta Taiwan 50, Yuanta High Dividend, and Cathay Sustainable High Dividend) from August 2023 to August 2024, multi-frequency datasets are analyzed using Granger causality tests. Results reveal heterogeneous price discovery patterns across ETFs. For the Yuanta High Dividend ETF (0056) and Cathay Sustainable High Dividend ETF (00878), futures prices exhibit a dominant informational role, significantly leading spot prices and NAV, particularly in high-frequency (5-minute) data. In contrast, for the Yuanta Taiwan 50 ETF (0050), the price discovery process is more complex, with spot prices and NAV exerting a stronger causal influence on futures prices rather than the reverse. These findings suggest that the direction of information transmission varies with ETF characteristics and data frequency, highlighting the importance of multi-frequency analysis in understanding ETF market dynamics.

Suggested Citation

  • Tzu-Pu Chang & Jung-Che Tai & Yi-Chi Lin, 2026. "Multi-frequency Price Discovery in ETF Markets: Futures, Spot, and Net Asset Value Dynamics," Bulletin of Applied Economics, Risk Market Journals, vol. 13(2), pages 1-15.
    • Handle: RePEc:rmk:rmkbae:v:13:y:2026:i:2:p:1-15
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    References listed on IDEAS

    as
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    JEL classification:

    • C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • G00 - Financial Economics - - General - - - General
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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