List of Articles Gold Exchange Traded Funds

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  1 - The effect of underlying asset shocks on the Gold exchange traded funds’ pricing deviation
  mahdi shaerattar Akbar Mirzapour babajan
  10.30495/jfksa.2021.19254
  Gold exchange traded fund is one of the new financial instrumentss that underlying asset is gold and traded in the capital markets. This article examines the pricing deviation of the four gold funds on the Iran Mercantile Exchange from their underlying asset index. The More

  Gold exchange traded fund is one of the new financial instrumentss that underlying asset is gold and traded in the capital markets. This article examines the pricing deviation of the four gold funds on the Iran Mercantile Exchange from their underlying asset index. The main purpose of this study is investigate the effect of underlying asset shocks on the Gold exchange traded funds’ pricing deviation. In order to achieve this purpose, employed daily data of Emami Coin, Gold ETFs in Iran (Tala, Ayar, Zar, Gohar), Vector Error Correction Model (VECM) and Impulse Response Function (IRF). Results: The results shown that pricing deviation is stationarity and predictable. Therefore can be considered an implicit transaction cost an Gold ETF. The reason for the predictability of the pricing deviation stems from its stationarity and the specific price discovery processes for this asset class. Utilization of Impulse Response Function shown that the shock effect of the underlying asset was the same and do not persist for more than six trading days, Which indicates the relative pricing efficiency of these funds Manuscript profile
• Open Access Article
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  2 - Gold Exchange Traded Fund : Price Discovery and Performance Analysis
  mahdi shaerattar akbar mirzapourbabajan
  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 C More

  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. Manuscript profile