Shahid Beheshti University Financial Management Perspective 2645-4637 13 41 2023 05 22 Arbitrage opportunities between ETFs and their underlying portfolio Arbitrage opportunities between ETFs and their underlying portfolio 117 143 103912 10.48308/jfmp.2023.103912 FA Reza Eyvazloo Assistant Prof., Department of Finance and Insurance Management, University of Tehran, Tehran, Iran 0000-0002-9336-078X Hamed Gh.Alamdari M.Sc. student, Department of Finance and Insurance Management, University of Tehran, Tehran, Iran. Journal Article 2023 02 14 This article, is going to study arbitrage opportunities between exchange-traded funds (ETFs) and their underlying portfolio. Therefore, we extract intraday data, and then carry out our research methodology to examine  arbitrage opportunities. Also, we study price and order flow behavior around the opportunities. We chose two Iranian ETFs named PALAYESH and DARA YEKOM as our research sample. In this article four variables including ETF return, underlying portfolio return, ETF order flow, and underlying portfolio order flow will be used to test our findings. After extracting data, we study the sigificant relationship between ETFs and their underlying portfolio by the Vector Autoregressive (VAR) model estimation. Finally, we found evidence about the divergence of ETF and its underlying prices and observe that mispricing correct through time by arbitrage mechanism This article, is going to study arbitrage opportunities between exchange-traded funds (ETFs) and their underlying portfolio. Therefore, we extract intraday data, and then carry out our research methodology to examine  arbitrage opportunities. Also, we study price and order flow behavior around the opportunities. We chose two Iranian ETFs named PALAYESH and DARA YEKOM as our research sample. In this article four variables including ETF return, underlying portfolio return, ETF order flow, and underlying portfolio order flow will be used to test our findings. After extracting data, we study the sigificant relationship between ETFs and their underlying portfolio by the Vector Autoregressive (VAR) model estimation. Finally, we found evidence about the divergence of ETF and its underlying prices and observe that mispricing correct through time by arbitrage mechanism https://jfmp.sbu.ac.ir/article_103912_84fd7d54053aacd064dbb1aa91bc6b9b.pdf