Pricing Deviation Correction of Cross-border ETFs: A 
Mathematical Derivation and Empirical Study Based on 
Arbitrage-Free Pricing Theory

Jingyao Wang

doi:10.70711/memf.v3i3.8865

Pricing Deviation Correction of Cross-border ETFs: A Mathematical Derivation and Empirical Study Based on Arbitrage-Free Pricing Theory

Jingyao Wang

Abstract

As a key link connecting domestic and foreign capital markets, cross-border ETFs have long had a deviation between their secondary market transaction prices and Net Asset Value (NAV), which seriously impacts the efficiency of cross-border capital allocation and the
protection of investors' interests. Taking the arbitrage-free pricing theory as the core framework, this paper incorporates cross-border-specific
variables such as exchange rate fluctuations, QDII quota constraints, transaction costs, and time zone differences to construct a mathematical
model of the arbitrage-free pricing interval for cross-border ETFs under multi-constraint conditions, and systematically derives the formation
mechanism and dynamic correction path of pricing deviations. The conclusions provide theoretical support and empirical basis for investors to
optimize arbitrage strategies and for regulators to improve the supervision mechanism of cross-border ETFs.

Keywords

Cross-border ETFs; Pricing Deviation; Arbitrage-Free Pricing; Error Correction Model; QDII Quota Constraints

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DOI: http://dx.doi.org/10.70711/memf.v3i3.8865

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