Academic Journals Database
Disseminating quality controlled scientific knowledge

Exchange-traded funds of the eurozone sovereign debt

Author(s): Drenovak Mikica | Urošević Branko

Journal: Economic Annals
ISSN 0013-3264

Volume: 55;
Issue: 187;
Start page: 31;
Date: 2010;
VIEW PDF   PDF DOWNLOAD PDF   Download PDF Original page

Keywords: exchange-traded funds | fixed-income | sovereign debt

Periods of high uncertainty bring liquidity concerns to the forefront for sovereign bond investors. Arguably the most liquid and cost-effective way for retail and small institutional investors to gain diversified sovereign bond exposure is through an exchange traded fund (ETF). In this paper we study the performance, country exposure, and replicating characteristics of a sample of 31 European index ETFs with exposure to eurozone sovereign debt. The obtained results are presented in the context of underlying index selection rules, types of replication, and movements in sovereign debt interest rates and sovereign CDS spreads. It is demonstrated that the ETFs focused on accurately track corresponding bond indices. This is consistent with earlier findings for equity index ETFs. Our results may be of interest for institutional investors, regulators, and everyone interested in sovereign debt investments.
Why do you need a reservation system?      Affiliate Program