This study examined the relationship between market price and NAV of the Exchange Traded Funds from listing date of each ETFs till December 2014. The study employed Augmented Dickey Fuller (ADF) Unit Root Test for Price and NAV and casual test between them. The study found that the daily time series of Price and NAV of the selected ETFs are stationary in first difference and the causality test revealed the existence of bidirectional relationship between them.

Key words: Exchange Traded Fund, Net asset value, Unit root and Causality. JEL: C58, C87, G11