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Does ETF Ownership Increase S&P 500 Stock Volatility?

Normann, Anette; Plaum, Emilie Gravdal
Master thesis
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2641032.pdf (2.113Mb)
Full dataset - part 1.txt (1.635Mb)
Full dataset - part 2.txt (9.733Mb)
Thesis Do-file.txt (14.92Kb)
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https://hdl.handle.net/11250/2686934
Utgivelsesdato
2020
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Samlinger
  • Master of Science [963]
Sammendrag
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.
Beskrivelse
Masteroppgave(MSc) in Master of Science in Business, Finance - Handelshøyskolen BI, 2020
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Handelshøyskolen BI

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