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undergraduate thesis
Market predictors of European equity ETF performance
Zagreb: University of Zagreb, Faculty of Economics and Business, 2023. urn:nbn:hr:148:360888
Osojnik, Luka
University of Zagreb
Faculty of Economics and Business
Department of Statistics

Institutional repository: REPEFZG

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Osojnik, L. (2023). Market predictors of European equity ETF performance (Undergraduate thesis). Zagreb: University of Zagreb, Faculty of Economics and Business. Retrieved from https://urn.nsk.hr/urn:nbn:hr:148:360888

Osojnik, Luka. "Market predictors of European equity ETF performance." Undergraduate thesis, University of Zagreb, Faculty of Economics and Business, 2023. https://urn.nsk.hr/urn:nbn:hr:148:360888

Osojnik, Luka. "Market predictors of European equity ETF performance." Undergraduate thesis, University of Zagreb, Faculty of Economics and Business, 2023. https://urn.nsk.hr/urn:nbn:hr:148:360888

Osojnik, L. (2023). 'Market predictors of European equity ETF performance', Undergraduate thesis, University of Zagreb, Faculty of Economics and Business, accessed 18 September 2024, https://urn.nsk.hr/urn:nbn:hr:148:360888

Osojnik L. Market predictors of European equity ETF performance [Undergraduate thesis]. Zagreb: University of Zagreb, Faculty of Economics and Business; 2023 [cited 2024 September 18] Available at: https://urn.nsk.hr/urn:nbn:hr:148:360888

L. Osojnik, "Market predictors of European equity ETF performance", Undergraduate thesis, University of Zagreb, Faculty of Economics and Business, Zagreb, 2023. Available at: https://urn.nsk.hr/urn:nbn:hr:148:360888

Metadata
TitleMarket predictors of European equity ETF performance
Title (croatian)Tržišni prediktori performansi dioničkog ETF-a
AuthorLuka Osojnik
MentorJosip Arnerić (mentor)
Committee memberSaša Jakšić (predsjednik povjerenstva)
GranterUniversity of Zagreb
Faculty of Economics and Business
(Department of Statistics)
Zagreb
Defense date and country2023-09-06, Croatia
Scientific / art field,
discipline and subdiscipline		SOCIAL SCIENCES
Economics
Abstract
The primary objective of this study was to address a critical gap in the analysis of Eurozone ETF performance by specifically focusing on the European market and investigating the impact of market-related variables on ETF tracking error. The research explored how the tracking error of a Eurozone ETF, concerning its benchmark index, is influenced during crisis periods, including the COVID-19 pandemic and the Ukrainian war. By carefully examining market periods or regimes, the paper offers empirical evidence on several market-based measures, such as market volatility, liquidity proxy, net flow, premium or discount, and trading volume, to comprehensively understand their influence on the tracking error. In addition to presenting in-depth explanations and empirical evidence, this study contributes to the literature by employing a regime-switching methodology.
Abstract (croatian)
Primarni cilj ovog rada bio istražiti utjecaj tržišnih varijabli na ETF tracking error s posebnim fokusom na europsko tržište. Rad istražuje kako se tracking error ETF-a, nasprem njegovog referntnog indeksa, ponašao za vrijeme COVID - 19 pandemije i ukrajinskog rata. Pažljivim ispitivanjem tržišnih razdoblja ili režima, rad nudi empirijske dokaze o nekoliko tržišno utemeljenih mjera, kao što su market volatility, liquidity proxy, net flow, premium or discount, and trading volume, kako bi se sveobuhvatno razumio njihov utjecaj na tracking error. Osim predstavljanja detaljnih objašnjenja i empirijskih dokaza, ovaj rad doprinosi literaturi primjenom metodologije promjene režima.
Keywords
Keywords (croatian)
Languageenglish
URN:NBNurn:nbn:hr:148:360888
Study programmeTitle: Business Economics in English
Study programme type: university
Study level: undergraduate
Academic / professional title: sveučilišni/a prvostupnik/ prvostupnica(baccalaureus/ baccalaurea) ekonomije (sveučilišni/a prvostupnik/ prvostupnica(baccalaureus/ baccalaurea) ekonomije)
Type of resourceText
File originBorn digital
Access conditionsOpen access
Terms of useLicence Attribution-NonCommercial-ShareAlike 3.0 Unported (CC BY-NC-SA 3.0) icon
Created on2023-09-07 07:41:07