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

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Title in English	Using correlation structure to analyse relation between ETFs with particular index as an underlying and these indices
Authors	LINNERTOVÁ Dagmar
Year of publication	2014
Type	Article in Proceedings
Conference	EUROPEAN FINANCIAL SYSTEMS 2014
MU Faculty or unit	Faculty of Economics and Administration
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.
Related projects:	Analýza a predikce vývoje cen finančních a investičních nástrojů