ETF Mispricing.

#1
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.
 
#2
1) Where can I find the constituents of an ETF and is it possible to track it on a daily basis.== The constituents and composition of an ETF is equal to as that of its underlying. e.g NIFTYBEES is having same constituent as that of NIFTY. Similarly BANKBEES has same constituents as BANKNIFTY. These prices are available in trading terminal as well as in BHAVCOPY

2) What is the best way to proxy the TxCost, STT etc?== The TxCost and STT applicable in the case of ETF is equal to that of any security.

3) I cant find any study done on it before. Are there any trading strategies that exploit this. == Cannot answer it as I did not try.

4) I will be having only the closing prices of the ETF and its constituents. Is it worth going through this approach?= Some one from Economics background may answer it properly.
 

Similar threads