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Korean J Financ Stud > Volume 47(4); 2018 > Article
Korean Journal of Financial Studies 2018;47(4):579-605.
DOI: https://doi.org/10.26845/KJFS.2018.08.47.4.579    Published online August 31, 2018.
Liquidity Provider and Pricing Error in KOSPI200 ETF
Dowan Kim
유동성 공급자와 KOSPI200 ETF의 가격오차 현상
김도완
고려대학교
Abstract
This paper confirmed effect factors according to pricing errors between ETF (Exchange Traded Fund) and NAV (Net Asset Value). This paper reached the following three conclusions. First, when compared to NAV, ETF was undervalued. Second, ETF was overvalued if dividends, fund fees, and tax variables were considered, meaning that the price of ETF was higher than that of NAV. Third, volatility and LP (Liquidity Provider) variables can be effect factors in overvaluation of ETF. In particular, the seller in LP variables is a stronger factor than other variables. This means than an LP can set a high price for an ETF and is able to influence pricing error. Therefore, detailed evaluation of the LP should be conducted.
Key Words: 상장지수펀드,포트폴리오,가격오차,순자산가치,유동성 공급자,ETF(Exchange Traded Fund),Portfolio,Pricing Error,NAV(Net Asset Value),LP(Liquidity Provider)
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