Abstract The article examines the pricing efficiency of exchange-traded funds (ETFs) listed on the Warsaw Stock Exchange (WSE) over the period 2010–2025. We analyse deviations of ETF market prices from their net asset values (NAVs) and introduce a novel perspective by comparing equal-, asset-, and turnover-weighted average absolute premiums and discounts. The results show that WSE-listed ETFs are generally priced efficiently, in line with evidence from other emerging markets. The largest mispricings, often in the form of premiums, occur in leveraged and foreign equity funds, particularly during episodes of market turbulence, while the smallest deviations are observed in ETFs tracking Polish sovereign bond indices. Most funds trade at a premium to NAV, with the exception of two domestic equity funds that frequently exhibit no significant discrepancies. Asset- and turnover-weighted deviations are slightly lower than equal-weighted ones, suggesting that the actual costs borne by investors are smaller than implied by unweighted measures. This study is the first comprehensive analysis of ETF pricing efficiency in Central and Eastern Europe, covering all instruments listed on the WSE and their full trading history.
Miziołek et al. (Thu,) studied this question.