Performance and Price Discovery of Gold Exchange Traded Funds

Narend, S.; Thenmozhi, M.

doi:10.2139/ssrn.2370337

Cited by 4 publications

(1 citation statement)

References 17 publications

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“…Lots of research has been conducted with respect to the performance of ETFs in foreign countries (Ahmed & Nanda, 2005;Fang & Perng, 2014;Rompotis, 2019;Yang & Chao, 2020), but in the case of an emerging country like India, literature is scarce on ETFs performance. Although, in India, some studies have been conducted on ETF performance (Kumar et al, 2012;Prasanna, 2012;Subramanian & Thenmozhi, 2013) but none of them talk about ETFs performance during stressful situations. Therefore, the present study attempts to answer whether equity ETFs are disintegrating from their underlying index during the pandemic.…”

Section: Covid-19 Is the Biggest Pandemic In The Worldmentioning

confidence: 99%

Performance of Equity ETFs during COVID-19 Pandemic Crisis: Evidence from India

Saini,

Sharma,

Verma

et al. 2023

Abhigyan

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The research article examines the performance of the five most traded equity ETFs on the basis of disintegration hypotheses and tracking errors. The study tests the disintegration hypotheses with respect to the most recent COVID-19 crisis. The study does not support the disintegration hypotheses in the case of Indian ETFs. It is discovered that 3 out of 5 ETFs are consistently co-integrated with their underlying index before, during, and after the COVID-19 financial crisis. Additionally, it was discovered that, prior to the financial crisis, 2 out of 5 were not co-integrated with their underlying index. However, during the financial crisis, only one ETF was not co-integrated with its benchmark index. However, after the pandemic crisis period, all the ETFs are co-integrated with the benchmark index. Moreover, during the financial crisis, the tracking error of these five exchange-traded funds increased and became more volatile compared to the pre-crisis and post-crisis periods.

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Section: Covid-19 Is the Biggest Pandemic In The Worldmentioning

confidence: 99%

Performance of Equity ETFs during COVID-19 Pandemic Crisis: Evidence from India

Saini,

Sharma,

Verma

et al. 2023

Abhigyan

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Price formation in Indian gold market: Analysing the role of gold Exchange Traded Funds (ETFs) against spot and futures markets

Kaur¹,

Singh²

2020

IIMB Management Review

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Market efficiency of gold exchange-traded funds in India

Nargunam

Anuradha

2017

Financ Innov

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Background: Gold exchange-traded funds, since introduction, are primarily aimed at tracking the price of physical gold in the financial market. This, a category of exchange-traded funds, whose units represent physical gold, is traded on exchanges like any other financial instrument. In the Indian financial market, gold exchange traded funds were introduced a decade ago to facilitate ordinary households' participation in the bullion market. They were also designed to assist in the price discovery mechanism of the bullion market. Presentation of the hypothesis: In this paper, it is attempted to check if one of the constituents of price discovery mechanism, informational efficiency, has been achieved in gold exchange-traded funds' market. Information efficiency becomes evident only when all available information is reflected in the market price of the instrument. Testing the hypothesis: Therefore, in order to assess the weak-form efficiency of the gold exchange-traded funds market, the daily returns of five gold exchangetraded funds traded on the Indian Stock Exchange over the period March 22, 2010, to August 28, 2015, were used. The non-parametric runs test, the parametric serial correlation test, and the augmented Dickey-Fuller unit root test are employed.

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Performance and Price Discovery of Gold Exchange Traded Funds

Cited by 4 publications

References 17 publications

Performance of Equity ETFs during COVID-19 Pandemic Crisis: Evidence from India

Performance of Equity ETFs during COVID-19 Pandemic Crisis: Evidence from India

Price formation in Indian gold market: Analysing the role of gold Exchange Traded Funds (ETFs) against spot and futures markets

Market efficiency of gold exchange-traded funds in India

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