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dc.contributor.advisor Bassiouny, Aliaa
dc.contributor.author Ragab, Nada
dc.date.accessioned 2017-05-14T07:24:32Z
dc.date.available 2019-05-14T22:00:29Z
dc.date.created Spring 2017 en_US
dc.date.issued 2017-05-14
dc.identifier.uri http://dar.aucegypt.edu/handle/10526/5067
dc.description.abstract The purpose of this thesis is to conduct a high frequency study of the pricing behavior and performance of an emerging market exchange traded fund relative to its benchmark index1. The thesis uses a high frequency intraday data2 set of the international EWZ ETF and its benchmark the MSCI Brazil making this high frequency analysis the first on an emerging market ETF. In testing the pricing behavior, the thesis first examines the price deviation of the ETF from its benchmark index. Second pricing behavior is analyzed using cointergration analysis and a Vector Error Correction Model (VECM) between the ETF and the index intraday movements as well as a Granger Causality test for robsutness. In testing performance differences between the ETF and index, a performance is measured and compared using Sharpe Ratio and persistence and the tracking error of the ETF are measured analysis is also conducted. Results showed that the prices of the index are higher on average that those of the ETF on both daily and intraday basis. Moreover, it was shown in the results that the ETF outperforms the index on intraday basis but the index outperforms the on daily basis. Also, the results displayed that there is an average daily tracking error on annual basis and that this error is persistent with a 0.12% rate. Furthermore, it was concluded that on intraday basis both the ETF and the index move to close the gap if a price deviation exists with a rate of 16.3% and 83.7% respectively, while on the other hand, on daily basis the results show that ETF doesn’t affect the index at all Keywords: Exchange Traded Funds, ETFs, price deviation, performance persistence, tracking error, tracking ability, co-integration, international. en_US
dc.format.extent 42 p. en_US
dc.format.medium theses en_US
dc.language.iso en en_US
dc.rights Author retains all rights with regard to copyright. en
dc.subject Exchange Traded Funds en_US
dc.subject Price Deviation en_US
dc.subject performance persistance en_US
dc.subject tracking error en_US
dc.subject co-integration en_US
dc.subject.lcsh Thesis (M.A.)--American University in Cairo en_US
dc.title High frequency analysis of the EWZ ETF en_US
dc.type Text en_US
dc.subject.discipline Finance en_US
dc.rights.access This item is restricted for 2 years from the date issued en_US
dc.contributor.department American University in Cairo. Dept. of Management en_US
dc.description.irb American University in Cairo Institutional Review Board approval is not necessary for this item, since the research is not concerned with living human beings or bodily tissue samples. en_US
dc.contributor.committeeMember Ahmed, Neveen
dc.contributor.committeeMember Bouadi, Mohamed


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  • Theses and Dissertations [1835]
    This collection includes theses and dissertations authored by American University in Cairo graduate students.

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