Η αξιολόγηση ενεργειακών διαπραγματεύσιμων αμοιβαίων κεφαλαίων μέσω διαφορετικών επενδυτικών στρατηγικών και παραμετροποιήσεων
Μεταπτυχιακή διπλωματική εργασία
Exchange-traded funds (ETFs) are variants of mutual funds that first came to life in the early 1990s. ETFs allow market participants to trade index portfolios, similar to how individual investors trade shares of a stock. They seek to track the value and volatility of an underlying benchmark index through the construction of portfolios replicative of the index's constituents. By owning an ETF, investors get the diversification of an index fund as well as the ability to sell short, buy on margin and purchase as little as one share (there are no minimum deposit requirements). Another advantage is that the expense ratios for most ETFs are lower than those of the average mutual fund. When buying and selling ETFs, you have to pay the same commission to your broker that you'd pay on any regular order There exists potential for favorable taxation on cash flows generated by the ETF, since capital gains from sales inside the fund are not passed through to shareholders as they commonly are with mutual funds. The reason for the growth in popularity of ETFs over recent years can be attributed to a number of advantages that they offer over other index-linked products. Tax efficiency and lower expenses are the two most frequently mooted draws for investors, with another being smaller transaction quantities than equivalent futures products, a feature allowing retail investors the opportunity to participate in the market. ETFs provide diversification satisfying broad exposure, be it market wide or sectoral coverage, with sectoral ETFs facilitating hedging requirements. As, Yu (2005) and Alexander and Barbosa (2008) observe, ETFs do not have short selling restrictions in the same manner as regular stocks so they may be more useful for hedging. Lastly, ETFs are not subject to the uptick rule, which Curcio, Lipka and Thornton(2004) suggest as another benefit for shareholders. The main findings of their study are summarized as follows: First, evidence of significant and asymmetric return spillovers between Chinese new energy and fossil fuel stock prices is found based on daily samples taken from August 30, 2006 to September 11, 2012. Further, negative news about new energy and fossil fuel stock returns both spill over into higher returns of their counter assets. Second, in terms of volatility spillover, both new energy and fossil fuel stock news spills over into variances of their counter assets. The increases in fossil fuel stock return volatilities are higher for the negative shocks of the fossil fuel stock returns than for the positive ones. Volatility spillovers depend complexly on the respective signs of the return shocks of each asset. (Wen et al., 2014). Clean energy has several advantages over fossil-type of sources, i.e. it can meet the increasing demand for energy, while it can significantly reduce carbon dioxide (CO2) emissions. Furthermore, its widely use has come as a result of the implementation of a number of clean environmental and energy policies for the reduction of of CO2 emissions and the efficient use of energy.(Paramati et al., 2016) In this study we examine clean and conventional energy related ETFs and attempt to answer which is more efficient in terms of higher returns and lower risk exposure, and where analysts should shed more light into: A smart selected strategy or a careful parametrization of this strategy ,also if this varies when Clean Energy (CLE) or Convetional Energy(COE) ETFs are included in a portfolio. The rest of the paper is structured as follows: in Section 2 we present the definition of ETF, in Section 3 we present a literature review; in section 4 we present our methodology and investment strategies and the data used in the paper; in Section 5 we present a summary discussion of our results; and Section 6 concludes.
Number of pagesσελ. 42
FacultyΣχολή Οικονομίας, Διοίκησης και Πληροφορικής
Academic DepartmentΤμήμα Οικονομικών Επιστημών
Post-graduate programΟικονομική Ανάλυση
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