International portfolio diversification through ETFs
Master thesis
Permanent lenke
http://hdl.handle.net/11250/2486339Utgivelsesdato
2017Metadata
Vis full innførselSamlinger
- Master of Science [1822]
Sammendrag
This thesis investigates whether the difference in correlation between the US
market and a country ETF or its underlying index is due to asynchronous returns
or US transitory effects. We study the performance and diversification of twelve
iShares funds issued by BlackRock. We include ETFs from different time zones
to compare non-overlapping, partially overlapping and funds traded
simultaneously. The study uses different frequencies of returns to capture the
persistence of tracking errors and correlation characteristics over time. The annual
tracking errors are low for all funds adjusted for transaction costs and correlations
are similar to their underlying MSCI indices. The tracking difference of the funds
are regressed upon several transitory variables. The S&P 500 has a significant
effect upon tracking errors for all funds along with exchange rate fluctuations. We
find no evidence of irrational pricing and suggest that differences in correlation
are mainly due to the stale NAV quotes.
Beskrivelse
Masteroppgave(MSc) in Master of Science in Business, Finance - Handelshøyskolen BI, 2017