Abstract

http://ssrn.com/abstract=2222845
 


 



Covered Call ETFs for BRIC Markets


Ronald T. Slivka


NYU Poly - Department of Finance and Risk Engineering

Sharad S. Bhat


New York University (NYU) - NYU Polytechnic School of Engineering

Sridhar Nonabuhr Srinivasamurthy


New York University (NYU) - NYU Polytechnic School of Engineering

January 15, 2013


Abstract:     
We explore the feasibility of creating a covered call ETF within BRIC countries to serve the growing global demand for emerging market investments having attractive risk and return characteristics Our findings suggest that currently among BRIC nations India alone has stock and options markets that make an index covered call ETF practically achievable. Such an ETF on India's NIFTY index appear to provide the valuable covered call benefits of yield enhancement over cash returns with volatility below that of the NIFTY index, diversification benefits due to a lower correlation with the NIFTY and a degree of protection against falling markets. Using closing price and intraday price data on the NIFTY and NIFTY options we verify that covered call returns in India are attractive and compatible with findings of past covered call studies. We conclude a covered call ETF on the NIFTY could be created, listed and quoted on local exchanges in India, Europe, the US or elsewhere.

Number of Pages in PDF File: 13

Keywords: Covered Call, ETF, NIFTY, India, BRIC

JEL Classification: G10, G13, G15

working papers series


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Date posted: March 1, 2013  

Suggested Citation

Slivka, Ronald T. and Bhat, Sharad S. and Srinivasamurthy, Sridhar Nonabuhr, Covered Call ETFs for BRIC Markets (January 15, 2013). Available at SSRN: http://ssrn.com/abstract=2222845 or http://dx.doi.org/10.2139/ssrn.2222845

Contact Information

Ronald T. Slivka (Contact Author)
NYU Poly - Department of Finance and Risk Engineering ( email )
Brooklyn, NY 11201
United States
2153213524 (Phone)
Sharad S. Bhat
New York University (NYU) - NYU Polytechnic School of Engineering ( email )
Brooklyn, NY 11201
United States
Sridhar Nonabuhr Srinivasamurthy
New York University (NYU) - NYU Polytechnic School of Engineering ( email )
Brooklyn, NY 11201
United States
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