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Does ETF Ownership Increase S&P 500 Stock Volatility?

Normann, Anette; Plaum, Emilie Gravdal
Master thesis
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URI
https://hdl.handle.net/11250/2686934
Date
2020
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  • Master of Science [963]
Abstract
This thesis studies the relation between exchange-traded fund ownership and

volatility for 396 equity ETFs in the United States, using a data set comprising 11

years, from January 2008 to December 2018. We study stocks listed on the S&P

500 Index, using OLS regressions to investigate whether ETF ownership increase

the volatility of underlying stocks. We find that a one-standard-deviation increase

in ETF ownership would lead to a shift in the volatility of the median stock in the

sample to a place between the 60th and 73rd percentiles. We conclude that in the

period from 2008 to 2018 ETF ownership increases S&P 500 Index stocks

volatility.
Description
Masteroppgave(MSc) in Master of Science in Business, Finance - Handelshøyskolen BI, 2020
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Handelshøyskolen BI

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