Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
Results
Showing 1 to 20 of 33 for “"ETFs"”.
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Southeast Asia Equity ETFs
… I want to look at Southeast Asia Equity ETFs as I believe that ETFs will play an important role in allowing investors to benefit from an exposure to the region's economy. In this thesis, I developed key investment highlights of Southeast Asia. I then explained why ETFs are an attractive …
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How Well Do Commodity Based ETFs Track Underlying Assets?
… the CORN, WEAT, SOYB, USO, and UGA commodity ETFs track their respective futures assets during the period of January 2012 to October 2017. Tracking error in this study is evaluated through 4 approaches to measure error, bias, systematic risk, and error magnitude. Additionally, a mispricing …
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Creating custom ETFs and exploring performance versus peers and the iBoxx index
The global financial crisis and following bond buyback actions and quantitative easing announcements by the ECB have led to strong demand for fixed income investments, particularly in Europe. This has increased demand for both active and passive fixed income funds. In this thesis, I review the …
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Perfomance evaluation of the tracking ability and pricing efficiency of exchange traded funds (ETFs) in South Africa
… 40 in November 2000, Exchange Traded Fund (ETFs) have grown to become an investment vehicle of choice amongst retail and institutional investors of the Johannesburg Securities Exchange (JSE). Albeit gaining such an enormous traction, investors’ remains curious about ETFs ability to …
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Three Essays on Exchange-Traded Funds
Chapter 1 The rise of exchange-traded funds (ETFs) has attracted significant attention from investors, regulators, and academics alike. Despite the widely asserted importance of authorized participants (APs) to ETFs' structure and function, little is known about the effects of AP behavior on ETFs …
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Volatility spillover between Exchange-Traded Funds on the Johannesburg Stock Exchange
… on the volatility spillover between domestic ETFs representing four major asset classes and four equity ETFs using the Diebold and Yilmaz (2012) Spillover Index. The equity ETF system includes the Satrix RESI 10 (STXRES), Satrix FINI 15 (STXFIN), and Satrix Capped INDI (STXIND). Four ETFs are …
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Two Essays Relating to Mutual Fund Performance
… first chapter, we look at exchange-traded funds (ETFs) and how they differ from index funds in performance and tracking error. Using daily data and a more comprehensive sample than past research, we find abnormal returns associated with the ETFs are higher than the alphas of the index funds in …
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Essays in Asset Management: Mutual Funds and Exchange-traded Funds
… mutual funds (MFs) and exchange-traded funds (ETFs). The first essay studies the decision by an asset manager to launch an exchange-traded fund (ETF). Fund families focus on both revenue generation and cost reduction when making launching decisions, with new ETF launches being driven more by …
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Essays in financial economics
… wisdom warns that exchange-traded funds (ETFs) harm stock price discovery, either by ``stealing'' single-stock liquidity or forcing stock prices to co-move. Contra this belief, I develop a theoretical model that investors with stock-specific information trade both single stocks and ETFs. …
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A Comprehensive Evaluation of Commodity ETF Tracking Divergence
… Asset Baskets for five popular futures-backed ETFs. We decompose tracking difference to examine the relative size of tracking differences attributable to managers versus the arbitrage process. Tracking differences attributable to managers is found to be significantly smaller than that …
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Quantifying the effects of new derivative introduction on exchange volatility, efficiency and liquidity
… primary investigation are Exchange Traded Funds (ETFs) and Contracts for Difference (CFDs). These products offer a cheap, tax-efficient and speedy method for increasing or decreasing market exposure to price changes in the related primary asset. By facilitating faster and shorter-term trading, …
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Exchange traded funds and their association with the volatility of the daily returns of major South African banks
… dynamics” refers to the relationship between ETFs and their constituent shares through the ETF share creation and redemption process and the purchase and sale of constituent shares), has an association with the volatility of the South African Major Bank's daily returns. This dissertation …
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Essays on Financial Market Structure
… In just over 20 years, exchange traded funds (ETFs) have gone from a new financial innovation to an industry representing over $1.3 trillion CAD in assets under management. With this rapid rise in popularity, questions naturally arise as to whether ETFs affect the markets for the underlying …
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Two Essays on Liquidity Essay I: Information Related Trading on Two Nearly Identical Options Essay II: The Importance of the Liquidity Premium in the Presence of Declining Transactions Cost
… of the introduction of exchange traded funds (ETFs) options on the information related trading of index options. Two option pairs, NASDAQ 100 index (NDX) and ETF (QQQ, currently QQQQ ) options, and Standard and Poor's 500 index (SPX) options and S & P Depository Receipts (SPY) options, are …
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Essays on Islamic Finance and Banking
… Shari‘ah compliant exchange traded funds (ETFs) have potential diversification benefits to a volatile portfolio of investments in emerging markets. The portfolio consists of three asset classes: conventional and fixed-income securities in emerging markets and Shari‘ah compliant equity. I …
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Robo-Advising on South African Exchange Traded Funds utilizing Prospect Theory
… profiling, portfolio allocation, availability of ETFs and accessible online trading platforms. The research shows that independent robo-advisers are possible in South Africa and a minimum viable implementation is presented.
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Hedge Fund Performance and Derivative Hedging
… risk factors from the entire universe of ETFs. The model provides more informative estimates of alpha and beta coefficients for predicting hedge fund out-of-sample performance compared with other widely used hedge fund factor models. Portfolios of top alpha hedge funds selected by the …
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