The effects of OF ETF creation on the price efficiency of underlying stocks

Detalhes bibliográficos
Autor(a) principal: Bueno, Bruna Helena Belchior Machado da Silva
Data de Publicação: 2012
Tipo de documento: Dissertação
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10362/9580
Resumo: A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economics
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spelling The effects of OF ETF creation on the price efficiency of underlying stocksExchange traded fundsPrice efficiencyAdverse selection hypothesisA Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and EconomicsIn this assignment I build an intuitive panel regression model, in order to achieve a clear isolation of the impact of the inception of the first Exchange Traded Fund created on the FTSE100 index on the price efficiency of its underlying stocks. The main finding of this analysis is that price efficiency at the individual stock market decreases after ETF introduction. Thus, the adverse selection hypothesis highlights the shift of liquidity traders to the basket security, leaving informed traders exposed in the individual market. This decrease is evident and significant for different time range samples employed, as well as for the several measures of price efficiency used.NSBE - UNLPrado, MelissaRUNBueno, Bruna Helena Belchior Machado da Silva2013-05-13T14:19:41Z2012-062012-06-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10362/9580enginfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-03-11T03:42:46Zoai:run.unl.pt:10362/9580Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T03:18:54.821419Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv The effects of OF ETF creation on the price efficiency of underlying stocks
title The effects of OF ETF creation on the price efficiency of underlying stocks
spellingShingle The effects of OF ETF creation on the price efficiency of underlying stocks
Bueno, Bruna Helena Belchior Machado da Silva
Exchange traded funds
Price efficiency
Adverse selection hypothesis
title_short The effects of OF ETF creation on the price efficiency of underlying stocks
title_full The effects of OF ETF creation on the price efficiency of underlying stocks
title_fullStr The effects of OF ETF creation on the price efficiency of underlying stocks
title_full_unstemmed The effects of OF ETF creation on the price efficiency of underlying stocks
title_sort The effects of OF ETF creation on the price efficiency of underlying stocks
author Bueno, Bruna Helena Belchior Machado da Silva
author_facet Bueno, Bruna Helena Belchior Machado da Silva
author_role author
dc.contributor.none.fl_str_mv Prado, Melissa
RUN
dc.contributor.author.fl_str_mv Bueno, Bruna Helena Belchior Machado da Silva
dc.subject.por.fl_str_mv Exchange traded funds
Price efficiency
Adverse selection hypothesis
topic Exchange traded funds
Price efficiency
Adverse selection hypothesis
description A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economics
publishDate 2012
dc.date.none.fl_str_mv 2012-06
2012-06-01T00:00:00Z
2013-05-13T14:19:41Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/masterThesis
format masterThesis
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10362/9580
url http://hdl.handle.net/10362/9580
dc.language.iso.fl_str_mv eng
language eng
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv NSBE - UNL
publisher.none.fl_str_mv NSBE - UNL
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
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