Publication details

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
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.
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