The shares of a closed-end Mutual Fund may be regarded as derived securities because their value depends entirely on the prices of securities that comprise the fund portfolio. Therefore, the Net Asset Value (NAV) of these shares, after adjustments for winding up costs, can be regarded as their fundamental value. In an efficient market, the prices of these shares would move in line with the changes in their NAV. This paper examines the relationship between the price and the NAV of Mastershares, the first closed-end fund in India. The investigations revealed that there is excessive volatility in prices, not justified by the fluctuations in the NAV. The price also show a mean reverting behaviour. These observations are in line with recent works on irrationality in pricing of securities and emphasize the doubts raised about efficacy of standard test for market efficiency.