O własnościach szeregów czasowych i płynności akcyjnych funduszy etf notowanych na europejskich giełdach
Time series properties and liquidity of some equity etf-s traded on european stock exchanges
Author(s): Ewa Małgorzata GnatowskaSubject(s): Economy, Supranational / Global Economy, Business Economy / Management, Financial Markets
Published by: Szkoła Główna Gospodarstwa Wiejskiego w Warszawie
Keywords: exchange traded fund; liquidity; weak-form efficiency of the market;
Summary/Abstract: This paper is devoted to ETFs, introducing briefly three of them, which are traded on the Warsaw Stock Exchange. Next time series properties are investigated for the fund following WIG 20 Index in comparison with other European ETFs provided by Lyxor Asset Management based on stock market indices. Weak-form efficiency of the market is discussed and liquidity of these instruments described, in context of the solvency crisis in Europe.
Journal: Metody Ilościowe w Badaniach Ekonomicznych
- Issue Year: XIII/2012
- Issue No: 3
- Page Range: 89-96
- Page Count: 8
- Language: Polish