( ISSN 2277 - 9809 (online) ISSN 2348 - 9359 (Print) ) New DOI : 10.32804/IRJMSH

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PERFORMANCE EFFICIENCY OF EXCHANGE TRADED FUNDS - ETF IN INDIA.

    2 Author(s):  DR.DEEPA VENUGOPAL, S.BHUVISHALI

Vol -  10, Issue- 4 ,         Page(s) : 91 - 96  (2019 ) DOI : https://doi.org/10.32804/IRJMSH

Abstract

This study attempts to measure the Performance efficiency of various Exchange Traded Funds (ETF) in Indian Stock market for the time of 5 years (2013 – 2018) using Data Envelopment Analysis. This would be a novel attempt to measure the performance efficiency as most of the studies end with just finding the returns or growth in returns of ETF. By using a DEA tool, we not only identify the performance, but also find the efficiency of the indices studied. A two input - two output CCR – O model has been deployed in this study. The analysis helps to identify the best performing sectorial indices thus helping investors to identify best Index funds for investment among those indices traded in National Stock Exchange. This research would add to the literature as there are very few studies which have managed to look at performance efficiencies of Indices.

1) Joanne M. Hill and Barbara Mueller (2001) ETFs and Indexing, Vol. 2001, No. 1: pp. 50-65
2) Gerasimos g. Rompotis [2003], ―ETFs vs. Mutual Funds: Evidence from the Greek market, South-Eastern Europe Journal of Economics 1 (2011) 27-43
3) Jares, T.E. and A.M. Lavin, 2004, ―Japan and Hong Kong Exchange-Traded Funds (ETFs): Discounts, Returns, and Trading Strategies‖, Journal of Financial Services Research, 25 (1),57-69)

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