The effect of exchange-traded funds on European stocks volatility

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dc.contributor.advisorSchmitz, Jan
dc.contributor.authorHeinen, Julia
dc.date.issued2020-06-25
dc.description.abstractExchange traded funds (ETFs) have become a popular financial instrument without transparent knowledge about their potential consequences for the segments of finance. This paper is focused on the effect of ETFs on their underlying assets volatility. Contrarily to previous research conducted on this matter I examined European securities instead of securities in the United States and analyzed the EUROSTOXX 50 and the EUROSTOXX 600 from the years 2006 until 2019. To my knowledge no empirical research has been done on the effect of ETFs on European underlying assets. I control for macroeconomic and industrial effects and conduct cross-section as well as fixed-effect analyses on four different datasets. The results of my empirical analysis are significant and robust and contradict results of previous research. According to my analyses, ETFs do not increase volatility but decrease the volatility of their underlying assets. The results of this paper are relevant for investors, especially stock owners. JEL classification: G12, G13, G23. Keywords: Exchange traded funds, volatility, European stocks Supervisor: Dr.en_US
dc.identifier.urihttps://theses.ubn.ru.nl/handle/123456789/10081
dc.language.isoenen_US
dc.thesis.facultyFaculteit der Managementwetenschappenen_US
dc.thesis.specialisationFinancial Economicsen_US
dc.thesis.studyprogrammeMaster Economicsen_US
dc.thesis.typeMasteren_US
dc.titleThe effect of exchange-traded funds on European stocks volatilityen_US
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