Who leads in intraday gold price discovery and volatility connectedness: Spot, futures, or exchange‐traded fund?

2021 ◽  
Author(s):  
Sanjay Sehgal ◽  
Neharika Sobti ◽  
Florent Diesting
Keyword(s):  
Price Discovery ◽  
Gold Price ◽  
Exchange Traded Fund

scholarly journals Gold Exchange Traded Fund - Price Discovery and Performance Analysis

2018 ◽  
Vol 65 (4) ◽  
pp. 477-495
Author(s):  
Mathew Mallika ◽  
M. M. Sulphey
Keyword(s):  
Price Discovery ◽  
Tracking Error ◽  
Spot Price ◽  
Exchange Traded Funds ◽  
Vector Error Correction ◽  
Spot Prices ◽  
Deviation Analysis ◽  
Vector Error ◽  
And Performance ◽  
Exchange Traded Fund

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.

Static-Price-Range Volatility Interruptions on the KRX : Characteristics, Price Stabilization, and Price Discovery

2017 ◽  
Vol 30 (2) ◽  
pp. 103-142
Author(s):  
Ilchan Ahn ◽  
◽  
Sung Chae La ◽  
Jong-Ho Park ◽  
Kyong Shik Eom
Keyword(s):  
Price Discovery ◽  
Price Stabilization ◽  
Price Range

Can shorting leveraged exchange-traded fund pairs be a profitable trade?

2019 ◽  
Vol 8 (2) ◽  
pp. 69-88
Author(s):  
George Tsalikis ◽  
Simeon Papadopoulos
Keyword(s):  
Exchange Traded Fund

How Smooth Is Price Discovery? Evidence from Cross-listed Stock Trading

2012 ◽  
Author(s):  
Haiqiang Chen ◽  
Paul Moon Sub Choi ◽  
Yongmiao Hong
Keyword(s):  
Price Discovery ◽  
Stock Trading
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