Exchange Traded Funds (ETFs) are traded at a premium or a discount when its price is above or below the net asset value (NAV) of its underlying securities. This study uses panel regression with fixed effects to explore the factors that influence ETF price. Cross-sectional standard deviation (CSSD) and cross-sectional absolute dispersion (CSAD) were used to verify the herd effect in the ETF market. The empirical results show that there is a herd effect when the ETF discounts.