Publicação
ETFs Benchmark Deviation in Times of Geopolitical Conflict: The Case of BlackRock Country ETFs During the Russia–Ukraine Crisis
| Resumo: | This thesis investigates the impact of the Russia–Ukraine war on the tracking accuracy of BlackRock iShares Exchange-Traded Funds (ETFs). While ETFs are designed to closely follow the performance of their underlying benchmarks, periods of higher market volatility and geopolitical risk can disrupt market functioning and compromise replication. Using a variety of methodologies, including short-term period error and cointegration analysis, this study compares tracking errors before and after the onset of the conflict in February 2022. The findings suggest that increased market volatility and geopolitical instability contributed to increased tracking error. These results highlight the vulnerability of passive investment vehicles to geopolitical shocks, with implications for both fund managers and investors seeking reliable index replication under crisis conditions. |
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| Autores principais: | Monteiro, João Pedro Coelho e Silva Honório |
| Assunto: | ETFs Tracking Error Russia–Ukraine War Market Volatility Cointegration |
| Ano: | 2025 |
| 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: | This thesis investigates the impact of the Russia–Ukraine war on the tracking accuracy of BlackRock iShares Exchange-Traded Funds (ETFs). While ETFs are designed to closely follow the performance of their underlying benchmarks, periods of higher market volatility and geopolitical risk can disrupt market functioning and compromise replication. Using a variety of methodologies, including short-term period error and cointegration analysis, this study compares tracking errors before and after the onset of the conflict in February 2022. The findings suggest that increased market volatility and geopolitical instability contributed to increased tracking error. These results highlight the vulnerability of passive investment vehicles to geopolitical shocks, with implications for both fund managers and investors seeking reliable index replication under crisis conditions. |
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