Commonwealth Securities' concept is similar to the well-known Big Mac Index developed by The Economist magazine which uses the cost of a McDonald's hamburger to compare currency values.
But Craig James, the bank's chief economist, said there was "a key difference between the iPod and Big Mac approaches".
"Big Macs are made in a host of countries across the globe whereas iPods are predominantly made in China,''
"If there were substantial price differences customers would switch their purchases to other countries, especially given the power of the internet."
However, retail prices in 26 countries showed a significant variation.
In the US, an iPod Nano is sold for $149 but in Brazil, which topped the new index, the same unit costs the equivalent of $327.71.
In Australia, an iPod is priced at US$172.36, which has led the bank to suggest that the currency is overvalued.
"The index suggests the US dollar has potential to appreciate against a range of major currencies, with the Aussie dollar about 15 per cent overvalued against the greenback," James said.
Canada is the cheapest place to pick up an iPod at $144.20.