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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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.


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


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