Title: | Arbitrage with exchange-traded funds: a case of E1VFVN30 based on intraday data |
Author(s): | Do H.P. |
Keywords: | Arbitrage opportunity; E1VFVN30; Exchange-traded fund (ETF); Intraday; 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. |
Issue Date: | 2021 |
Publisher: | Weissberg SRL |
Series/Report no.: | Vol. 11, Issue 1 |
URI: | https://ideas.repec.org/a/wei/journl/v11y2021i1p130-143.html http://digital.lib.ueh.edu.vn/handle/UEH/61957 |
ISSN: | 2247-8531 |
Appears in Collections: | INTERNATIONAL PUBLICATIONS
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