Abstract
The Exchange Traded Funds (ETFs) have become a wide-spread investment vehicle with unique characteristics that have not been sufficiently studied yet, especially when it comes to emerging markets ETFs. Moreover, consolidated asset pricing models are not enough to analyze the dynamics of a kind of fund that adds a different dimension in relation to conventional investment funds: the variation of share prices. The difference between share prices and their net asset values (NAVs) is called pricing deviation. The goal of this paper is to verify if Brazilian ETFs pricing deviation depends on market returns and if this relationship presents differences according to market situations, before and after the European debt crisis. With the local correlation approach, our results pointed to the fact that the correlation between pricing deviation and the market return is much higher in extreme points and it becomes even higher after the beginning of the Eurozone debt crisis.
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