Price deviation from net asset value: the case of Asian tech-oriented ETFS
Di Legge, Antea (A.A. 2024/2025) Price deviation from net asset value: the case of Asian tech-oriented ETFS. Tesi di Laurea in Econometric theory, Luiss Guido Carli, relatore Paolo Santucci de Magistris, pp. 98. [Master's Degree Thesis]
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Abstract/Index
Literature review. Efficient market hypothesis: rational and sentiment–driven approaches. Pricing efficiency. Determinants of price deviations from NAVs. Gaps in the literature and contribution. Data and methodology. Data sources and sample selection. Variable definitions. Visual diagnostics and sample refinement. Pooled ordinary least squares. Structural and dynamic extensions. Cointegration and error correction models: ECM and VECM. Results and discussion. Baseline pooled OLS. Diagnostic testing and model extensions. Long–run adjustments: cointegration. Robustness and sensitivity insights.
References
Bibliografia: pp. 59-61.
| 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: | Econometric theory |
| Thesis Supervisor: | Santucci de Magistris, Paolo |
| Thesis Co-Supervisor: | Carlini, Federico Carlo Eugenio |
| Academic Year: | 2024/2025 |
| Session: | Summer |
| Deposited by: | Alessandro Perfetti |
| Date Deposited: | 23 Sep 2025 12:45 |
| Last Modified: | 23 Sep 2025 12:45 |
| URI: | https://tesi.luiss.it/id/eprint/43263 |
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