I am looking for topic on my dissertation and once among them is to check if there is any mis-pricing in ETF and exploit the arbitrage. I got few questions around it.
1) Where can I find the constituents of an ETF and is it possible to track it on a daily basis
2) What is the best way to proxy the TxCost, STT etc?
3) I cant find any study done on it before. Are there any trading strategies that exploit this
4) I will be having only the closing prices of the ETF and its constituents. Is it worth going through this approach?
Any thoughts or pointer will be very helpful.
1) Where can I find the constituents of an ETF and is it possible to track it on a daily basis
2) What is the best way to proxy the TxCost, STT etc?
3) I cant find any study done on it before. Are there any trading strategies that exploit this
4) I will be having only the closing prices of the ETF and its constituents. Is it worth going through this approach?
Any thoughts or pointer will be very helpful.