This study investigates the pricing efficiency of the Shanghai 50 ETF (SSE 50 ETF), the first exchange-traded fund (ETF) in China. The empirical results demonstrate that ETF market prices and net asset values (NAV) are cointegrated and there is unidirectional causality from price to NAV. The...

This study investigates to what extent the pricing efficiency of the SSE 50 ETF, the first exchange traded fund in China. The empirical results demonstrate that the ETF market price and its net asset value (NAV) are cointegrated and there is unidirectional causality from the price to NAV. The...