Using Correlation Structure to Analyse Relation between ETFs with Particular Index as an Underlying and These Indices

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LINNERTOVÁ Dagmar

Rok publikování 2014
Druh Článek ve sborníku
Konference EUROPEAN FINANCIAL SYSTEMS 2014
Fakulta / Pracoviště MU

Ekonomicko-správní fakulta

Citace
Obor Ekonomie
Klíčová slova ETF; network structure; index; correlation; graph theory
Popis The paper examines dependability and connectedness in the world ETFs market. Respectively, what are similarities and differences between world indices and particular index ETFs. The usage of network structure helps to fully identify relation between particular ETFs and indices that represent the underlying assets of these ETFs. The application of the graph theory contributes to particularized understanding relations in ETFs market. Network modelling of capital market offers a powerful tool, because it provides another view on dependences in a market.
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