dc.contributor.author | Normann, Anette | |
dc.contributor.author | Plaum, Emilie Gravdal | |
dc.date.accessioned | 2020-11-09T12:13:58Z | |
dc.date.available | 2020-11-09T12:13:58Z | |
dc.date.issued | 2020 | |
dc.identifier.uri | https://hdl.handle.net/11250/2686934 | |
dc.description | Masteroppgave(MSc) in Master of Science in Business, Finance - Handelshøyskolen BI, 2020 | en_US |
dc.description.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. | en_US |
dc.language.iso | eng | en_US |
dc.publisher | Handelshøyskolen BI | en_US |
dc.subject | finans | en_US |
dc.subject | finance | en_US |
dc.title | Does ETF Ownership Increase S&P 500 Stock Volatility? | en_US |
dc.type | Master thesis | en_US |