ETF Effects on Market Quality

Student: Luzin Yury

Faculty: International College of Economics and Finance

Educational Programme: Double degree programme in Economics of the NRU HSE and the University of London (Bachelor)

Year of Graduation: 2019

Exchange-Traded Funds (ETFs) have gained a rise in popularity for the last two decades. These funds have become an important investment tool in the foreign markets while in Russia the development of ETFs is not as rapid as it is abroad. However, there are enough ETFs on MOEX to assess the quality of ETF market in Russia. As ETFs are exposed to mispricing, the objective of this paper is to assess the performance of the Russian ETFs. In this research the author will use CAPM test and will show that ETFs are efficient index trackers while some empirical papers provide evidence against it. The following step of the research will consist of finding significant variables in explaining the ETF price mismatch with the Net Asset Value. Such variables will be discovered and described.

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