| Title |
Akcijų biržoje prekiaujamų fondų arbitražo veiklos poveikio juos sudarančių akcijų rinkos verčių pokyčių bendram kitimui vertinimas / |
| Translation of Title |
The evaluation of the impact of the stock exchange-traded funds arbitrage activity on the co-movement of equities’ market values changes. |
| Authors |
Dičpinigaitienė, Viktorija |
| DOI |
10.15388/vu.thesis.189 |
| Full Text |
|
| Pages |
188 |
| Keywords [eng] |
Exchange traded fund ; risks ; co-movement ; GARCH-DCC ; arbitrage |
| Abstract [eng] |
Significantly growing popularity of exchange traded funds (ETFs) among investors is getting more and more attention from scholars: there is a particular need for the interest in risks posed by ETFs. With its exceptional structure and arbitrage mechanism, ETFs pay special attention to the impact on its underlying securities. One such effect is the possible increase on the co-movement of underlying securities’ market values changes. The analysis of this co-movement is important for investors because it reduces the benefits of diversification. Therefore, the aim of this dissertation is to investigate the impact of stock ETFs arbitrage activity on the co-movement of its underlying equities’ market values changes. In addition, it aims at developing methodology to evaluate the impact of European stock ETFs arbitrage activity on the co-movement of European underlying equities’ market values changes. It is concluded that the co-movement of European underlying equities’ market values changes owned by European registered ETFs exists independently from fundamental factors. Additionally, the arbitrage activity of the stock ETFs makes impact on the co-movement of underlying equities’ market values changes. The period analysed in the dissertation also includes market fluctuations due to the COVID-19 pandemic: it is confirmed that during periods of market stress, the additional co-movement of equities’ market values changes are formed in the markets. |
| Dissertation Institution |
Vilniaus universitetas. |
| Type |
Doctoral thesis |
| Language |
Lithuanian |
| Publication date |
2021 |
