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dc.contributor.authorNormann, Anette
dc.contributor.authorPlaum, Emilie Gravdal
dc.date.accessioned2020-11-09T12:13:58Z
dc.date.available2020-11-09T12:13:58Z
dc.date.issued2020
dc.identifier.urihttps://hdl.handle.net/11250/2686934
dc.descriptionMasteroppgave(MSc) in Master of Science in Business, Finance - Handelshøyskolen BI, 2020en_US
dc.description.abstractThis 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.isoengen_US
dc.publisherHandelshøyskolen BIen_US
dc.subjectfinansen_US
dc.subjectfinanceen_US
dc.titleDoes ETF Ownership Increase S&P 500 Stock Volatility?en_US
dc.typeMaster thesisen_US


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