Long Run Tracking Error and Price Discovery of Exchange Traded Fund'son Gold

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Published Dec 1, 2018
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Volume 8, Issue 2, December 2018

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Akhila
Research Scholar, Department of Management, Pondicherry University, Karaikal
Arun
Research Scholar, Department of Management, Pondicherry University, Karaikal
Dharmalingam
Associate Professor, Department of Management, Pondicherry University, Karaikal

Abstract

The study intends to analyse whether the ETFs have an influence on the price discovery ofgold. Future market had played a dominant role in the price discovery of underlying assets. The analysis of price discovery bringsknowledge about the market where most effectively prices are incorporated with the fundamental information and also focuses on market performance because it is a measure of the ability of the market to process information. Here the study examined that prices of gold and ETF prices are closely related, that means ETFs are closely following the underlying asset of gold We found that ETFs are tracking their underlying asset of Gold in India.From the Augmented Dickey Fuller Unit Root Test and Johansen Co- integration tests it is revealed that among the two variables -price of gold and price of gold ETFs, there exist a long run relationship. Moreover, study talks about the granger causality exist between Gold ETFs and MCX spot price of the gold. There we found three ETFs are having bidirectional causality and therest are following uni-directional causality.

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How to Cite
Akhila, Arun, & Dharmalingam. (2018). Long Run Tracking Error and Price Discovery of Exchange Traded Fund’son Gold. SJCC Management Research Review, 90–101. Retrieved from http://www.sjccmrr.res.in/index.php/sjcc/article/view/63

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