تجزیه و تحلیل کارکرد کشف قیمت صندوقهای قابل معامله طلا در ایران
محورهای موضوعی : مهندسی مالی
مهدی شاعرعطار
1
(گروه اقتصاد، واحد قزوین، دانشگاه آزاد اسلامی، قزوین، ایران)
اکبر میرزاپور باباجان
2
(گروه اقتصاد، واحد قزوین، دانشگاه آزاد اسلامی، قزوین، ایران)
کلید واژه: صندوقهای قابل معامله طلا, کشف قیمت, خطای ردیابی, انحراف قیمت گذاری,
چکیده مقاله :
یکی از ابزارهای مالی جدیدی که به تازگی وارد بازار سرمایه کشور شده است، صندوقهای قابل معامله کالایی (ETF) با دارایی پایه طلا می‌باشد. هدف از نگارش مقاله حاضر پاسخ به این سؤال است که آیا ETF های طلا در ایران به یکی از کارکردهای اصلی خود، یعنی کشف قیمت صحیح دست یافته است یا خیر؛ برای بررسی این موضوع، از اطلاعات مربوط به قیمت‌های روزانه سکه تمام بهار آزادی طرح امام خمینی (ره) و یکی از صندوق طلای فعال از تاریخ 20/03/1396 تا 27/06/1398 استفاده شده است. نتایج نشان می‌دهد که علیت از بازار نقدی به سمت بازار ETF طلا بوده و 64 درصد کشف قیمت در بازار نقدی صورت می‌گیرد و این ابزار صرفاً پیرو بازار نقدی می‌باشد. معیار خطای ردیابی نشان از عملکرد بهتر بازار نقدی داشته و رهیافت انحراف قیمت‌گذاری نیز بیانگر این است که ETF طلا نسبت به بازار نقدی کمتر مورد اقبال عمومی بوده است. بنابراین کارکرد کشف قیمت مورد انتظار برای ETF های طلا در ایران محقق نشده است که البته با توجه به عمر کوتاه ETF های طلا و حجم کوچک بازار آن نسبت به بازار نقدی سکه، نتایج به دست آمده با واقعیت‌های اقتصادی ایران تطابق دارد.
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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9) Chou R, Chun H. Decimalization, trading costs, and information transmission between ETFs and index futures. Journal of Futures Markets. 2006, 26: 131–151.
10) Chu Q, Hsieh W, Tse Y. Price discovery on the S&P 500 index markets: An analysis of spot index, index futures, and SPDRs. International Review of Financial Analysis. 1999, 8: 21–34.
11) DeFusco R, Ivanov S, Karels G. The exchange traded funds' pricing deviation — Analysis and forecasts. Journal of Economics and Finance. 2011, 35: 181–197.
12) Devvil L. Exchange Traded Funds: History, Trading, and Research. Handbook of Financial Engineering. 2008: 67-97 (Springer).
13) Fang Y, Sanger G. Index price discovery in the cash market. Available at SSRN: http://ssrn.com/abstract 2013.
14) Frino A, Gallagher D. Tracking S&P 500 index funds. Journal of Portfolio Management. 2001, 28:44–55.
15) Fung H, Liu Q, Tse Y. An analysis of the price linkages among the DJIA index, futures, and exchange-traded fund markets. The Review of Futures Markets. 2008, 16. 301–328.
16) Hasbrouck J. Intraday price formation in U.S. equity index markets. Journal of Finance. 2003, 58: 2375-99.
17) Hasbrouck J. One security, many markets: determining the contributions to price discovery. Journal of Finance. 1995, 50:1175–1199.
18) Ivanov S, Jones F, Janis Z. Analysis of DJIA, S&P 500, S&P 400, NASDAQ 100 and Russell 2000 ETFs and their influence on price discovery. Global Finance Journal. 2013, 24: 171-187.
19) Ivanov S. The influence of ETFs on the price discovery of gold, silver and oil. Journal of Economics and Finance. 2013, 37: 453-462.
20) Kumar U, Tse Y. Single-stock futures: Evidence from the Indian securities market. Global Finance Journal. 2009, 20: 220–234.
21) Lau M, et al. Return spillovers between white precious metal ETFs: Pricing Efficiency & Performance of Exchange Traded Funds in India. Journal of Applied Finance. 2017, 21(3). https://ssrn.com/abstract=2671810
22) Mallika M, Sulphey M. Gold Exchange Traded Fund - Price Discovery and Performance Analysis. Scientific Annals of Economics and Business. 2018, 65 (4): 195-477.
23) O'Connell R. Gold exchange traded funds: their evolution and their role. Inst Invest. 2007,41:129–135.
24) Purohit H, Malhotra N. Pricing Efficiency & Performance of Exchange Traded Funds in India. The IUP Journal of Applied Finance, 2015, 21(3). https://ssrn.com/abstract=2671810.
25) Saleem M, Khan M. The overview of gold ETFs and it's various positive featues. International Journal of Marketing, Financial Services & Management Research. 2013, Vol2: 125-135.
26) Tse Y, Bandyopadhyay P, Shen Y. Intraday price discovery in the DJIA index markets. Journal of Business Finance & Accounting. 2006, 33. 1572–1585.
27) Tse Y, Martinez V. Price discovery and informational efficiency of international iShares funds. Global Finance Journal. 2007, 18: 1–15.
28) Tse Y, Xiang J. Market quality and price discovery: Introduction of the E-mini energy futures. Global Finance Journal. 2005, 16: 164–179.