The effects of ETFs on market liquidity
Perugini, Elena (A.A. 2019/2020) The effects of ETFs on market liquidity. Tesi di Laurea in Asset pricing, Luiss Guido Carli, relatore Emilio Barone, pp. 87. [Master's Degree Thesis]
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Abstract/Index
Market liquidity. Definition and measures of market liquidity. Determinants of market liquidity. Liquidity crunches. Evidences from the market. Exchange traded funds. History, structure, and dynamics. The growing popularity of ETFs. Market herding and possible disruptions. The Covid-19 crisis and the ETFs. Literature review. Security baskets and index-linked securities. Propagation of liquidity shocks into ETFs’ underlying securities. Alternative views. The ETFs and the liquidity of underlying securities. Empirical analysis. Empirical results. Observations.
References
Bibliografia: pp. 67-71.
| Thesis Type: | Master's Degree Thesis |
|---|---|
| Institution: | Luiss Guido Carli |
| Degree Program: | Master's Degree Programs > Master's Degree Program in Economics and Finance (LM-56) |
| Chair: | Asset pricing |
| Thesis Supervisor: | Barone, Emilio |
| Thesis Co-Supervisor: | Borri, Nicola |
| Academic Year: | 2019/2020 |
| Session: | Extraordinary |
| Deposited by: | Alessandro Perfetti |
| Date Deposited: | 02 Jul 2021 06:47 |
| Last Modified: | 02 Jul 2021 06:47 |
| URI: | https://tesi.luiss.it/id/eprint/29953 |
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