Publicação
Disruptions in financial markets: the case of etfs in the covid-19 crisis
| Resumo: | ETFs have become one of the most prominent innovations of the last decades. Increasing interest among fixed-income ETFs generated concerns about their structural fragility, especially during periods of market stress. The covid-19 pandemic provides a unique laboratory to evaluate its resiliency. The analysis using daily data on fund performance and monthly observations on fund flow showed a significant drop in returns during the pandemic outbreak and outflows among ETFs with illiquid underlings, reporting differences across fund geographies. The regression results revealed evidence of the two unprecedented Federal Reserve interventions' vital role in calming markets, boosting ETF sreturns, and attracting flows. |
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| Autores principais: | Lepka, Adam Lepka |
| Assunto: | Etfs Covid-19 Fixed-Iincome Flows Performance Resilience |
| Ano: | 2021 |
| País: | Portugal |
| Tipo de documento: | dissertação de mestrado |
| Tipo de acesso: | acesso aberto |
| Instituição associada: | Universidade Nova de Lisboa |
| Idioma: | inglês |
| Origem: | Repositório Institucional da UNL |
| Resumo: | ETFs have become one of the most prominent innovations of the last decades. Increasing interest among fixed-income ETFs generated concerns about their structural fragility, especially during periods of market stress. The covid-19 pandemic provides a unique laboratory to evaluate its resiliency. The analysis using daily data on fund performance and monthly observations on fund flow showed a significant drop in returns during the pandemic outbreak and outflows among ETFs with illiquid underlings, reporting differences across fund geographies. The regression results revealed evidence of the two unprecedented Federal Reserve interventions' vital role in calming markets, boosting ETF sreturns, and attracting flows. |
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