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 11 of 11 for “"exchange traded fund"”.
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Replicating the carry trade through an exchange traded fund
… of my thesis is to implement this popular hedge fund strategy through the structure of an exchange traded fund. The interest rate spread between two different currencies should be an expectation of future exchange rates, however, empirically, this belief does not hold true. The carry trade takes …
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The bank of Japan’s intervention in exchange-traded funds as an effective monetary policy tool
… domestic stock market through the purchase of exchange-traded funds. This research study evaluated the impact of the Bank of Japan’s exchange-traded fund purchase programme on market returns using an event study methodology. An investigation into a sample of 33 intervention events in the Nikkei …
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Portfolio construction in South Africa with regard to the exchange rate
In South Africa the exchange rate receives a large amount of attention, due to its volatility and its perceived effect on share returns. This dissertation examines the international literature regarding exchange rate exposure and replicates their methods in a South African context to determine the …
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Perfomance evaluation of the tracking ability and pricing efficiency of exchange traded funds (ETFs) in South Africa
… the listing of the Satrix 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 …
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Trading foreign exchange carry portfolios
Foreign exchange carry trades involve buying high yielding currencies while selling low yielding currencies. Contrary to the implications of the uncovered interest parity condition, carry trades have generated consistent profits in the past decades. As foreign exchange has gained increased …
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Volatility spillover between Exchange-Traded Funds on the Johannesburg Stock Exchange
Growth in the Exchange-Traded Fund industry (ETF) has been exponential in the past decade. International research on this topic has been extensive, with less focus given to the local Johannesburg Stock Exchange (JSE). This research aims to extend the existing literature on the JSE, particularly …
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Essays in Asset Management: Mutual Funds and Exchange-traded Funds
… dissertation consists of three essays related to fund management, and in particular, 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 …
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Exchange traded funds and their association with the volatility of the daily returns of major South African banks
… of major South African Bank shares by the Exchange Traded Fund (ETF) market in South Africa along with ETF's unique trading dynamics (for the purposes of this dissertation, “ETF's unique trading dynamics” refers to the relationship between ETFs and their constituent shares through the ETF …
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An Analysis and Improvement of Robo-Advisory
… built around a 32-item questionnaire and an exchange-traded fund (ETF) universe, generates 100 allocations; strict validation and regression relate questionnaire items to equity share. The performance study assembles monthly indices, assigns portfolios to equity buckets, and compares them …
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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 …