Gold Exchange Traded Fund - Price Discovery and Performance Analysis

Mallika Mathew () and Sulphey M. M. ()
Additional contact information
Mallika Mathew: Jagannath International Management School, Kalkaji, New Delhi, India
Sulphey M. M.: College of Business Administration, Prince Sattam Bin Abdulaziz Unviersity, Saudi Arabia

Scientific Annals of Economics and Business, 2018, vol. 65, issue 4, 477-495

Abstract: The paper aims to examine the price discovery process and the performance of Gold Exchange Traded Funds especially with respect to two Gold ETFs, namely, Goldman Sachs Gold Exchange Traded Scheme (GoldBeEs) and SBI Gold Exchange Traded Scheme (SBIGETS), for the period 2009 – 2016. The study has employed Johansen cointegration and Johansen’s Vector Error Correction Model (VECM) for the price discovery analysis. The results of VECM reveal that the spot prices lead the Gold ETFs price during the study period. Tracking Error analysis shows that Gold ETFs have neither outperformed nor underperformed the spot price. Price Deviation analysis indicates that Gold ETFs are trading on an average lower than the spot price of gold. The entire analysis reveals that although the price discovery takes place in the spot market, Gold ETFs 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 ETFs.

Keywords: Gold Exchange Traded Funds; price discovery; price deviation (search for similar items in EconPapers)
JEL-codes: G13 (search for similar items in EconPapers)
Date: 2018
References: Add references at CitEc
Citations:

Downloads: (external link)
https://doi.org/10.2478/saeb-2018-0024 (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:vrs:aicuec:v:65:y:2018:i:4:p:477-495:n:2

DOI: 10.2478/saeb-2018-0024

Access Statistics for this article

Scientific Annals of Economics and Business is currently edited by Ovidiu Stoica

More articles in Scientific Annals of Economics and Business from Sciendo
Bibliographic data for series maintained by Peter Golla ().