Market predictors of European equity ETF performance

undergraduate thesis

• Title (croatian): Tržišni prediktori performansi dioničkog ETF-a
• Author: Luka Osojnik
• Mentor: Josip Arnerić (mentor)
• Committee member: Saša Jakšić (predsjednik povjerenstva)
• Granter: University of Zagreb; Faculty of Economics and Business; (Department of Statistics); Zagreb
• Defense date and country: 2023-09-06, Croatia
• Scientific / art field, discipline and subdiscipline: SOCIAL SCIENCES; Economics

Abstract

The primary objective of this study was to address a critical gap in the analysis of Eurozone ETF performance by specifically focusing on the European market and investigating the impact of market-related variables on ETF tracking error. The research explored how the tracking error of a Eurozone ETF, concerning its benchmark index, is influenced during crisis periods, including the COVID-19 pandemic and the Ukrainian war. By carefully examining market periods or regimes, the paper offers empirical evidence on several market-based measures, such as market volatility, liquidity proxy, net flow, premium or discount, and trading volume, to comprehensively understand their influence on the tracking error. In addition to presenting in-depth explanations and empirical evidence, this study contributes to the literature by employing a regime-switching methodology.

Abstract (croatian)

Primarni cilj ovog rada bio istražiti utjecaj tržišnih varijabli na ETF tracking error s posebnim fokusom na europsko tržište. Rad istražuje kako se tracking error ETF-a, nasprem njegovog referntnog indeksa, ponašao za vrijeme COVID - 19 pandemije i ukrajinskog rata. Pažljivim ispitivanjem tržišnih razdoblja ili režima, rad nudi empirijske dokaze o nekoliko tržišno utemeljenih mjera, kao što su market volatility, liquidity proxy, net flow, premium or discount, and trading volume, kako bi se sveobuhvatno razumio njihov utjecaj na tracking error. Osim predstavljanja detaljnih objašnjenja i empirijskih dokaza, ovaj rad doprinosi literaturi primjenom metodologije promjene režima.

• Keywords: ETF performance; ETF; ETF tracking error; Markow switching model
• Keywords (croatian): tracking error; ETF; Markow switching model
• Language: english
• URN:NBN: urn:nbn:hr:148:360888
• Study programme: Title: Business Economics in English; Study programme type: university; Study level: undergraduate; Academic / professional title: sveučilišni/a prvostupnik/ prvostupnica(baccalaureus/ baccalaurea) ekonomije (sveučilišni/a prvostupnik/ prvostupnica(baccalaureus/ baccalaurea) ekonomije)
• Type of resource: Text
• File origin: Born digital
• Access conditions: Open access
• Created on: 2023-09-07 07:41:07