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MASTER THESIS
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Comparison of the impact of the health and energetic crisis: An analysis of ESG leaders and laggards ETFs in Europe and North America

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Abbas, Ahmed ULiège
Promotor(s) : Santi, Caterina ULiège
Date of defense : 4-Sep-2023/8-Sep-2023 • Permalink : http://hdl.handle.net/2268.2/18673
Details
Title : Comparison of the impact of the health and energetic crisis: An analysis of ESG leaders and laggards ETFs in Europe and North America
Translated title : [fr] Comparaison de l’impact de la crise sanitaire et énergétique : une analyse des ETF leaders et retardataires ESG en Europe et en Amérique du Nord
Author : Abbas, Ahmed ULiège
Date of defense  : 4-Sep-2023/8-Sep-2023
Advisor(s) : Santi, Caterina ULiège
Committee's member(s) : Hardy, Céleste ULiège
Language : English
Number of pages : 68
Keywords : [en] ESG
[en] FAMA
[en] Returns
[en] COVID-19
[en] Energetic crisis
[en] Crisis
[en] ETFs
[en] Europe
[en] North America
[en] Russia
[en] Ukraine
[en] Invasion
Discipline(s) : Business & economic sciences > Finance
Target public : Student
General public
Institution(s) : Université de Liège, Liège, Belgique
Degree: Master en sciences de gestion, à finalité spécialisée en Financial Analysis and Audit
Faculty: Master thesis of the HEC-Ecole de gestion de l'Université de Liège

Abstract

[fr] This master's thesis delves into the intricate interplay between ESG-oriented and non-ESG exchange traded funds (ETFs) during health and energetic crises in both European and North American
markets. Through a rigorous analytical framework, this study investigates the multifaceted
relationships between various factors and ETF performance, uncovering novel insights into the
distinct dynamics that emerge in times of crisis.
In the European context, the health crisis reveals a complex landscape. The analysis demonstrates a
modest correlation between the independent variables and ETF returns, with limited explanatory
power. Factors such as market risk (MKTRF), size (SMB), and value (HML) do not consistently exhibit
statistically significant associations with ETF returns. In North America, the growth of COVID-19 cases
significantly influences the performance of both ESG-oriented and non-ESG ETFs, underscoring the
nuanced regional responses to crisis events.
The energetic crisis brings further nuances to light. In Europe, the model's explanatory power
remains moderate, and factors such as MKTRF, SMB, HML, INDEXRT, and POSTINV lack consistent
significance in differentiating ETF performance. Conversely, in North America, the analysis reveals a
stronger link between these factors and ETF returns, highlighting the importance of MKTRF, SMB,
HML, and INDEXRT in shaping performance dynamics.
Comparing the outcomes of the two crises, the study underscores the divergent impacts. While the
health crisis results present a mixed picture, the energetic crisis results offer more coherent and
significant associations, particularly in the North American context. This discrepancy emphasizes the
significance of crisis-specific factors and regional dynamics in shaping ETF performance.
This study carries implications for a broad spectrum of stakeholders, from investors seeking to
navigate market uncertainties to policymakers designing crisis response strategies. However, it's
important to acknowledge the study's limitations, including its reliance on historical data and
potential unaccounted variables.
In conclusion, this master's thesis presents an in-depth exploration of the intricate relationships
between health and energetic crises and ETF performance. By unravelling the multifaceted influences
of various factors and regional dynamics, this study contributes valuable insights for understanding
and navigating the intricate landscape of ETF performance during times of upheaval.


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Author

  • Abbas, Ahmed ULiège Université de Liège > Master sc. gest., à fin.

Promotor(s)

Committee's member(s)

  • Hardy, Céleste ULiège Université de Liège - ULiège > HEC Liège : UER > UER Finance et Droit : Analyse financière et finance d'entr.
    ORBi View his publications on ORBi
  • Total number of views 44
  • Total number of downloads 5










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