Title: Exploring the information role of Indian equity ETFs: evidence from quantile time connectedness and wavelet correlation

Authors: Chanchal Saini

Addresses: Department of Commerce, Shri Ram College of Commerce, University of Delhi, India

Abstract: In recent years, equity exchange-traded funds (ETFs) have become increasingly popular in India, raising questions about their role in market efficiency and price discovery. This study analyses the information flow among Nifty 50 tracking ETFs, the Nifty 50 index, and Nifty 50 futures from April 2017 to April 2024. Using the Quantile Time Connectedness approach and Wavelet Quantile Correlation, we find that connectedness among these markets increases during times of stress and at extreme quantiles. Futures and the index are the main transmitters of information, while some ETFs are active contributors, and less liquid ETFs act as net receivers. Additionally, the futures market plays a key role in short-term price discovery, with actively traded ETFs closely following it, while weaker ETFs are better suited for passive strategies. These findings provide important insights for fund managers, traders, and regulators on portfolio management and trading strategies in an ETF-driven environment.

Keywords: exchange-traded fund; information efficiency; TVP-VAR; futures market; wavelet correlation.

DOI: 10.1504/IJFMD.2026.155931

International Journal of Financial Markets and Derivatives, 2026 Vol.10 No.3, pp.225 - 244

Received: 08 Feb 2026
Accepted: 15 Apr 2026
Published online: 26 Aug 2026 *

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