Analysis of the Impact of Stock Market Yield Fluctuations on the Assets Under Management of Gold Funds: Examining Periods of Upturns and Downturns

Subject Areas : Stock Exchange

Mohammad Hasannezhad ¹ , Ali Shabani Ghazi Kalaye ^{2 *}

1 - Department of Financial Management and Insurance, Faculty of Management and Accounting, Shahid Beheshti University, Tehran, Iran
2 - Department of Financial Management and Insurance, Faculty of Management and Accounting, Shahid Beheshti University, Tehran, Iran

Received: 2025-02-10 Accepted : 2025-05-20 Published : 2025-12-22

Keywords: Assets under management, Investor behavior, Gold funds, Market volatility, GARCH. ,

Abstract :

Abstract

‌‌Objective:‌‌ The aim of this research is to investigate the impact of stock market return volatility on the assets under management of gold funds in the Iranian capital market. Given the structural changes in global economies and financial fluctuations, this study seeks to clarify the relationship between stock market volatility and changes in gold fund assets.

‌‌Research Method:‌‌ This research is applied in nature, and the data used includes time series of stock market return volatility and the assets under management of gold funds collected daily from 2019 to 2023. To analyze these data, GARCH and E-GARCH models were employed. These models were utilized to examine the effect of market volatility on gold fund assets and to analyze investor behavior under various market conditions.

‌‌Findings:‌‌ The results of the research indicate that changes in stock market returns have a significant impact on the changes in assets under management of gold funds. Specifically, the GARCH(1,1) model showed that positive volatility in stock market returns directly leads to an increase in gold fund assets. Furthermore, the E-GARCH model indicates the presence of asymmetric effects on volatility, such that positive shocks have a greater impact than negative shocks on fund asset volatility.

 

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