ETF시장 변화에 따른 추적오차와 괴리율추정에 관한 연구

The study analyzes the price deviations of the 26 most liquid ETFs. The main results are as follows. First, most of the tracking errors between the returns of NAV and those of ETFs are from relevant benchmark data and the returns of NAV consistent with the results of previous papers. Second, the disparate ratio had a negative (-) value or the discount ratio exceeded 50%, and the ETF product price was undervalued compared to the NAV price, which is the theoretical output price. ETF product prices based on domestic underlying indexes KOSPI 200, KOSPI 200 futures, and won-dollar futures were undervalued compared to net asset value, showing a significant negative (-) disparate ratio in most cases. ETF product prices based on the U.S. base index Nasdaq 100, S&P 500 futures, Dow Jones REITs, MSCI REITs, gold futures, and silver futures showed an overvalued positive (+) gap to net asset value. In particular, the discount rate of KODEX 200, TIGER 200, and KODEX Leveraged (double) ETF products in the 3rd section, where the KOSPI 200 is highly volatile, shows a strong negative (-) gap of 90%. This is consistent with the research results of Lee Sang-won (2013), in which the disparate ratio of the three KOSPI 200-related management leverage (double) products in the daily data analysis for three years before 2013 was all negative (-). Dimson and Minio-Kozerski (1999) suggested a discount phenomenon that occurs in closed funds as the reason ETF products are undervalued.