تبیین کارایی قیمتگذاری صندوقهای قابل معامله در بورس (ETF) تهران از منظر عملکرد، خطای ردیابی و صرف قیمتی
محورهای موضوعی : بورس اوراق بهادارسیدفخرالدین فخرحسینی 1 , میثم کاویانی 2
1 - گروه مدیریت بازرگانی، واحد تنکابن، دانشگاه آزاد اسلامی، تنکابن، ایران
2 - گروه مدیریت مالی، واحد کرج، دانشگاه آزاد اسلامی، کرج، ایران
کلید واژه: عملکرد, کارایی, صرف, خطای ردیابی, ETF,
چکیده مقاله :
صندوق قابل معامله در بورس (ETF) یک نوآوری مهم در کل بازارهای مالی جهانی است که کماکان امکان قیمتگذاری نادرست و ایجاد فرصتهای آربیتراژ در این صندوقها وجود دارد. از آنجایی که واحدهای سرمایهگذاری در صندوقهای قابلمعامله در بورس مشابه سهام مورد معامله قرار میگیرند ممکن است معاملات این صندوقها با قیمتی غیر از ارزش ذاتی معایب آنها محسوب شود. با توجه به قدمت کم این صندوقها در ایران و اهمیت کارایی قیمتگذاری آنها، این پژوهش به بررسی این مهم در بازار سرمایه تهران گام برداشته است. جهت دستیابی به هدف فوق شش صندوق (سهامی، شاخصی و با درآمد ثابت) انتخاب شدند. برای تجزیه و تحلیل از دادههای روزانه یک دوره 6 ساله (1395 الی 1400) استفاده شده است. نتایج نشان می‌دهد که عملکرد صندوقهای منتخب بهتر از عملکرد شاخص کل بازار بوده است. همچنین نتایج نشان داد که عوامل موثر بر خطای ردیابی و صرف (کسر) در صندوقهای مختلف نتایج متفاوتی را ارائه می‌دهد و ناکارایی قیمتی در این صندوقها نیز مشهود است.
Exchange-traded funds (ETFs) are an important innovation in the global financial markets, where there is still the possibility of incorrect pricing and creating arbitrage opportunities in these funds. Since the investment units in ETFs are traded in the same way as stocks, the transactions of these funds at a price other than their intrinsic value may be considered as their disadvantages. Considering the short history of these funds in Iran and the importance of their pricing efficiency, this research has taken a step to investigate this issue in the capital market of Tehran. In order to achieve the above goal, six funds (equity, index and fixed income) were selected. Daily data of a 6-year period (2016 to 2021) has been used for analysis. The results show that the performance of the selected funds was better than the performance of the whole market index. Also, the results showed that the factors affecting the Tracking Error and Premium (discount) in different funds provide different results and price inefficiency is also evident in these funds.
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