Gold Exchange Traded Fund: Price Discovery and Performance Analysis

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shaer attar mahdi; mirzapour babajan akbar

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Journal: FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT) Year:2020 | Volume:11 | Issue:44 Page(s): 426-445

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Information Journal Paper

Title

Gold Exchange Traded Fund: Price Discovery and Performance Analysis

Author(s)

shaer attar mahdi | mirzapour babajan akbar | Issue Writer Certificate

Keywords

Gold Exchange Traded Funds (ETF)Q1

price discoveryQ1

Tracking ErrorQ1

price deviationQ1

Abstract

The paper aims to examine the price discovery process and the performance of Gold Exchange Traded Funds (ETF) in Iran Mercantile Exchange (IME) for the period 2017/06/10 – 2019/09/18. The study has employed Johansen cointegration and Johansen’ s Vector Error Correction Model (VECM) for the price discovery analysis. The results show that the spot prices lead the Gold ETF price during the study period and ETF is only following the spot prices. Also Tracking Error analysis shows that, Gold ETF have neither outperformed nor underperformed the spot price. price deviation analysis indicates that Gold ETF is trading lower than the spot price of gold. The entire analysis reveals that although the price discovery takes place in the spot market, Gold ETF have performed as well as physical gold and the slight difference in price with that of Gold is only because of certain fees, which are applicable in the management of Gold ETF. Therefore, the expected price discovery for gold ETF in IME has not been realized.

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APA: Copy

shaer attar, mahdi, & mirzapour babajan, akbar. (2020). Gold Exchange Traded Fund: Price Discovery and Performance Analysis. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), 11(44 ), 426-445. SID. https://sid.ir/paper/396734/en

Vancouver: Copy

shaer attar mahdi, mirzapour babajan akbar. Gold Exchange Traded Fund: Price Discovery and Performance Analysis. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT)[Internet]. 2020;11(44 ):426-445. Available from: https://sid.ir/paper/396734/en

IEEE: Copy

mahdi shaer attar, and akbar mirzapour babajan, “Gold Exchange Traded Fund: Price Discovery and Performance Analysis,” FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), vol. 11, no. 44 , pp. 426–445, 2020, [Online]. Available: https://sid.ir/paper/396734/en

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