Document details

Differences in the prices of physical ETF’s and synthetic ETF’s

Author(s): Nunes, Diogo André Pereira Alves

Date: 2013

Persistent ID:

Origin: Repositório Institucional da UNL

Subject(s): Pricing; Volatility; Physical; Synthetic


Exchange Traded Funds, ETF’s, are a relatively recent investment product that observed high growing in the last decade. They bring investors some advantages, but might also have some disadvantages, depending on the investor profile. In this piece of research, the pricing mechanism of ETF’s is exhaustively dissected and it is compared with external factors that influence ETF’s prices, namely volatility, in order to determine if there is a relationship between them and if volatility is a good explanatory variable for ETF’s prices. Also, the pricing mechanism of two different types of ETF’s is compared, physical ETF’s and synthetic ETF’s, in order to determine if there are any significant differences between both of them.

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

Document Type Master thesis
Language English
Advisor(s) Ferreira, Miguel
Contributor(s) Nunes, Diogo André Pereira Alves
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