Using Correlation Structure to Analyse Relation between ETFs with Particular Index as an Underlying and These Indices
| Title in English | Using correlation structure to analyse relation between ETFs with particular index as an underlying and these indices |
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| Authors | |
| Year of publication | 2014 |
| Type | Article in Proceedings |
| Conference | EUROPEAN FINANCIAL SYSTEMS 2014 |
| MU Faculty or unit | |
| Citation | |
| Field | Economy |
| Keywords | ETF; network structure; index; correlation; graph theory |
| Description | 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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