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Authors
Advisor(s)
Abstract(s)
A dissertação proposta pretende aferir os efeitos que a pandemia de Covid19 provocou na eficiência de preços (pricing efficiency), estratégia de replicação (replication strategy) e no erro de seguimento (tracking error) dos Exchanges Traded Funds que seguem o Índice MSCI World, especificamente de que forma foi o afetada a capacidade dos Exchange Traded Funds acompanharem o Índice e os efeitos nas oportunidades de arbitragem. A amostra conta com os 17 ETFs que seguem o Índice MSCI World e cobre um período de 6 anos (2015-2020), dividido em dois sub-períodos: 2015 a 2019 e 2020. Dando assim a possibilidade de analisar um período representativo anterior à crise pandémica (2015-2019), permitindo aferir as mudanças no funcionamento do mercado após o início da crise. Os resultados indicam que, no geral, os ETFs melhoram a sua eficiência de preços e que a persistência do desvio de preços diminuiu, minimizando consequentemente as oportunidades de arbitragem. A estratégia de replicação dos ETFs permaneceu a mesma antes e durante a
pandemia, sendo uma estratégia de replicação seletiva. O tracking error aumentou durante a pandemia em relação ao período anterior em todos os ETFs, refletindo as dificuldades introduzidas pela pandemia na incerteza dos mercados.
The proposed thesis aims to assess the effects of the Covid19 pandemic on the pricing efficiency, replication strategy and tracking error of Exchanges Traded Funds that follow the MSCI World Index, specifically how the ability of Exchange Traded Funds to track the Index has been affected and the effects on arbitrage opportunities. The sample includes the 17 ETFs that follow the MSCI World Index and covers a period of 6 years (2015-2020), divided into two sub-periods: 2015 to 2019, and 2020. Giving the possibility to analyze a representative period prior to the pandemic crisis (2015-2019), allowing to assess changes in the functioning of the market after the beginning of the crisis. The results indicate that, overall, ETFs improve their pricing efficiency, and the persistence of price deviation has decreased, consequently minimizing arbitrage opportunities. The replication strategy of the ETFs remained the same before and during the pandemic, consisting of a selective replication strategy. Tracking error increased during the pandemic relative to the previous period in all ETFs, reflecting the difficulties introduced by the pandemic in the uncertainty of the markets.
The proposed thesis aims to assess the effects of the Covid19 pandemic on the pricing efficiency, replication strategy and tracking error of Exchanges Traded Funds that follow the MSCI World Index, specifically how the ability of Exchange Traded Funds to track the Index has been affected and the effects on arbitrage opportunities. The sample includes the 17 ETFs that follow the MSCI World Index and covers a period of 6 years (2015-2020), divided into two sub-periods: 2015 to 2019, and 2020. Giving the possibility to analyze a representative period prior to the pandemic crisis (2015-2019), allowing to assess changes in the functioning of the market after the beginning of the crisis. The results indicate that, overall, ETFs improve their pricing efficiency, and the persistence of price deviation has decreased, consequently minimizing arbitrage opportunities. The replication strategy of the ETFs remained the same before and during the pandemic, consisting of a selective replication strategy. Tracking error increased during the pandemic relative to the previous period in all ETFs, reflecting the difficulties introduced by the pandemic in the uncertainty of the markets.
Description
Mestrado em Análise Financeira
Keywords
Exchange traded funds MSCI world index Replication strategy Princing efficiency Tracking error Covid19 pandemic
URI
Citation
Monteiro, V. (2022). Did the COVID19 pandemic create pricing ineddiciencies in the MSCI world index ETFS? (Dissertação de mestrado não publicada). Instituto Politécnico de Lisboa, Instituto Superior de Contabilidade e Administração de Lisboa. Disponível em https://repositorio.ipl.pt/handle/10400.21/15642