Autor(es):
Silva, João Miguel dos Santos 
Data: 2012
Identificador Persistente: http://hdl.handle.net/10362/9617
Origem: Repositório Institucional da UNL
Assunto(s): Liquidity; Exchange-traded funds; Underlying stocks
Detalhes do Documento
The effects Ishares IBovespa index fund creation on the liquidity of underlying...
Descrição
A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economics I investigate the impact of Ishares Ibovespa Index Fund (BOVA) introduction on the liquidity of the underlying securities and the asymmetry of the liquidity effect depending on the BOVA component weight. My main finding is that there was no impact on liquidity of underlying components after the introduction of the exchange-traded fund and also that the absence of effect in liquid is symmetric for all the component securities. Additional, I find that BOVA has a low trading volume and liquidity over the 50 days of trading as compared with other ETF’s at the moment of inception. Being this the main reason for the absence of impact on the liquidity of components securities after BOVA inception.
A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economics I investigate the impact of Ishares Ibovespa Index Fund (BOVA) introduction on the liquidity of the underlying securities and the asymmetry of the liquidity effect depending on the BOVA component weight. My main finding is that there was no impact on liquidity of underlying components after the introduction of the exchange-traded fund and also that the absence of effect in liquid is symmetric for all the component securities. Additional, I find that BOVA has a low trading volume and liquidity over the 50 days of trading as compared with other ETF’s at the moment of inception. Being this the main reason for the absence of impact on the liquidity of components securities after BOVA inception.
Tipo de Documento
Dissertação de Mestrado
Idioma Inglês
Orientador(es) Prado, Melissa
Idioma Inglês
Orientador(es) Prado, Melissa
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