Explaining The Pricing Efficiency Of Exchange-Traded Funds (ETF) in Tehran From The Point of View of Performance, Tracking Error and Premium

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.