scholarly journals REVISITING GOLD'S SAFE HAVEN STATUS WITH THE UTILIZATION OF THE INDEX OF IMPLIED VOLATILITY AND VALUES OF EXCHANGE TRADED FUNDS

2021 ◽  
Vol 10 ◽  
pp. 24-39
Author(s):  
Dimitrios Panagiotou
Keyword(s):  
Implied Volatility ◽  
Exchange Traded Funds ◽  
Quantile Regressions ◽  
Safe Haven ◽  
Statistical Tool ◽  
Volatility Index ◽  
Asset Value ◽  
The Us ◽  
Net Asset Value

The coronavirus pandemic is a health and economic crisis which has placed an immense strain on the world’s financial system. Hence, amidst the (still ongoing) Covid-19 pandemic, the objective of this work is to investigate the role of gold as as a hedge or safe haven with the use of exchange traded funds. The present work employs the implied volatility index of gold share options (GVZ), the net asset value of the price per share of the US Oil Fund options (USO) and the value of the Currency Share Euro Trust (FXE). The statistical tool utilized is the quantile regressions methodology. Data are daily observations from June 2008 to December 2018.  The empirical results reveal that gold's implied volatility decreases significantly (or it is not statistically different than zero), under changes in the average returns and/or under extreme market declines in FXE and USO. According to the aforementioned findings, gold could be an investment vehicle to serve as a hedge and or a safe haven asset. The present study is the first one to employ quantile regressions (QR) along with gold's implied volatility and the prices of exchange traded funds (ETFs) in order to investigate gold's hedge and/or safe haven properties.

scholarly journals Exchange-traded funds as an alternative investment option

2019 ◽  
pp. 7-37
Author(s):  
António Afonso ◽  
Pedro Cardoso
Keyword(s):  
Mutual Funds ◽  
Mutual Fund ◽  
Exchange Traded Funds ◽  
Price Efficiency ◽  
Index Funds ◽  
Equity Mutual Funds ◽  
Asset Value ◽  
Net Asset Value ◽  
Tracking Ability ◽  
Investment Option

We conduct an analysis of Exchange-traded Funds (ETFs), Index and Equity mutual funds and their respective benchmark during the 2010-2015 period for the Portuguese fund industry. For the period 2010-2017, we test ETFs for price inefficiency (existence of deviations between prices and the Net Asset Value) and persistence. We find that the studied ETF does not always outperform index funds in replicating the variations of the PSI 20 index, despite exhibiting better tracking ability when facing downside deviations of the benchmark and a better capacity of smoothing tracking deviations. Regarding ETFs price efficiency and its persistence, the study reveals that the examined ETF is priced at a low average discount with evidence of deviations persistence of at least two days. The investment schemes with the highest ability to track the PSI 20 Index were PSI20 (ETF), BBVA PPA Índice PSI20, and the equity mutual fund BPI Portugal.

scholarly journals Institutional Constraints on the Rate of Derivatives in Leveraged Exchange-Traded Fund

2020 ◽  
Vol 49 (2) ◽  
pp. 217-248
Author(s):  
Dowan Kim
Keyword(s):  
Tracking Error ◽  
Institutional Constraints ◽  
Exchange Traded Funds ◽  
Tracking Errors ◽  
Data Set ◽  
Asset Value ◽  
Net Asset Value ◽  
Institutional Constraint ◽  
Exchange Traded Fund ◽  
Leveraged Etf

This study confirmed whether the rate of derivatives in leveraged exchange-traded funds (ETF) calculated by derivatives and net asset value (NAV) affect their tracking errors. This research established three findings. First, when the rate of derivatives was limited at 100%, the tracking error of the leveraged ETF targeted on 2 times of the index was affected by the rate of derivatives. Second, when the rate of derivatives was eased to 200%, the same-day tracking error of the leveraged ETF targeted on 2 times of the futures index that launched after the constraints was affected by the rate of derivatives. Third, this study analyzed the constraints of the rate of derivatives after determining whether the leveraged ETF targeted on 2 times of the index indicates whether the rate of derivatives is close to 200%. As a result, even when the rate of derivatives is slightly over the 200% limit, the tracking error was lower. Even when the constraints were slightly over the limit, the tracking error was shown to be significantly lower than the other data set. This result implies that when there is an institutional constraint on the rate of derivatives, there can be limitations to fund management of leveraged ETF targeted on 2 times of the futures index.

The Pricing of Exchange Traded Funds and the Roles of Primary and Secondary Market Participants

2020 ◽  
Vol 10 (03) ◽  
pp. 2050013
Author(s):  
Gordon J. Alexander ◽  
Mark A. Peterson
Keyword(s):  
Market Efficiency ◽  
Secondary Market ◽  
Exchange Traded Funds ◽  
Direct Relation ◽  
Secondary Markets ◽  
Market Makers ◽  
Market Participants ◽  
Asset Value ◽  
Net Asset Value ◽  
Arbitrage Trading

We study the pricing of exchange traded funds (ETFs) and the associated arbitrage trading of them in the primary and secondary markets. We find a direct relation between primary and secondary market trading that is consistent with market-makers using the primary market to hedge their inventory risk in the secondary market, as well as to facilitate arbitrage. Such trading in both markets keeps ETF prices in line with their net asset value. We conclude that the existence of the primary market enhances secondary market efficiency.

scholarly journals DOES POLICY UNCERTAINTY AFFECT EQUITY, COMMODITY, INTEREST RATES, AND CURRENCY MARKETS? EVIDENCE FROM CBOE’S VOLATILITY INDEX

2020 ◽  
Vol 21 (5) ◽  
pp. 1350-1374
Author(s):  
Imlak Shaikh
Keyword(s):  
Economic Policy ◽  
Interest Rates ◽  
Implied Volatility ◽  
Empirical Work ◽  
Investor Sentiment ◽  
Policy Uncertainty ◽  
Stock Market Volatility ◽  
Currency Markets ◽  
Volatility Index ◽  
The Us

Economic policy drives investment, production, employment, and other macroeconomic indicators of the economy. The study examines the equity, commodity, interest rates, and currency markets, taking into consideration the US economic policy uncertainty (EPU) index. The present work determines the association among policy uncertainty and volatility index, expressed in terms of generalized autoregressive conditional heteroscedasticity and period of empirical work spanning from 2000 to 2018. The results suggest that equity markets’ volatility tends to be very high based on a high degree of policy uncertainty. The findings on the commodity market indicate that crude oil and gold prices remain more volatile during the presidential election and financial crisis. One of the essential results shows that the 2000s boom, early credit crunch, Lehman’s collapse and recession, and fiscal policy battles have significantly affected the equity, currency, and commodity markets. The interest rates and currency markets have responded considerably to Feds’ and EPU index. The empirical outcome provides evidence that implied volatility index is a forward looking expectation of future stock market volatility, and it uncovers that policy uncertainty affects investor sentiment. The present work holds some practical implications for the government to formulate policies to regulate the US market.

Lead-Lag Relationship between Volatility Index and Stock Market Index

2005 ◽  
Vol 13 (2) ◽  
pp. 87-105
Author(s):  
Jae Ha Lee ◽  
Je Ryun Chung
Keyword(s):  
Stock Market ◽  
Implied Volatility ◽  
Daily Basis ◽  
Sample Period ◽  
Stock Market Index ◽  
Market Index ◽  
Volatility Index ◽  
Asymmetric Response ◽  
Daily Data

This study examines the lead-lag relationship between KOSPI200 and the volatility index based on the implied volatility from the KOSPI200 options. The sample period covers from January 2, 2003 to June 30, 2004. Both daily and minute-by-minute data were used for the lead-lag analysis. The study also determines whether the response of volatil ity index to KOSPI200 is symmetric or not. The most important findings may be summarized as follows. First, there is no lead-lag relationship between the change in volatility index and the KOSPI200 returns on a daily basis. However, on a minute-by-minute basis, volatility index leads KOSPI200 for the group of largest increases in volatility index, and the opposite is true for the group of largest decreases and least changes in volatility index. The option market appears to react more quickly to volatility increases, while the stock market seems more sensitive to volatility decreases. Second, the volatility increase in response to the stock market decline is more severe than the volatility decrease in response to the stock market rise for daily data. This evidence of asymmetry suggests that volatility index plays a role of investors’fear gauge. Our results show no asymmetric response of volatility index to stock market movements for weekly data.

SEC proposes sweeping new liquidity risk management rules for mutual funds and ETFs

2016 ◽  
Vol 17 (1) ◽  
pp. 74-82 ◽  
Author(s):  
Michael Rosella ◽  
Bill Belitsky ◽  
Alexandra Marghella
Keyword(s):  
Risk Management ◽  
Mutual Funds ◽  
Financial Services ◽  
Management Practices ◽  
Liquidity Risk ◽  
Securities And Exchange Commission ◽  
Exchange Traded Funds ◽  
Content Type ◽  
Asset Value

Purpose To discuss a September 22, 2015 Securities and Exchange Commission (“SEC”) proposal for a set of broad and sweeping rules mandating that open-end mutual funds and exchange-traded funds (“ETFs”) develop and implement formalized and written liquidity risk management programs (“LRMPs”). Design/methodology/approach Describes the purpose of an LRMP, the six “liquidity buckets,” the nine factors that must be considered in determining an instrument’s liquidity, the need to continuously monitor the liquidity of each position, the set of eight mandated factors used to assess a fund’s liquidity risk, the requirement for a fund to define a three-day liquid asset minimum, the role of the fund’s board of directors, a separate rule permitting “swing pricing” to adjust net asset value to take into account the costs of unexpected redemptions or cash infusions, disclosure requirements, and proposed compliance dates. Findings In proposing this new program, the SEC stated that its goal was to enhance effective liquidity risk management practices by funds and thereby reduce the risk that funds will be unable to meet redemptions under reasonably foreseeable stressed market conditions. Originality/value Expert guidance by experienced financial services lawyers.

A study on the relationship between price and net asset value of the exchange traded funds in India

2016 ◽  
Vol 12 (2) ◽  
pp. 31
Author(s):  
Dharani Munusamy ◽  
Vijayakumar Narayanamurthy ◽  
Muruganandam Sivanmalaiappan
Keyword(s):  
Exchange Traded Funds ◽  
Asset Value ◽  
Net Asset Value ◽  
The Relationship

scholarly journals The Case for Gold Revisited: A Safe Haven Or A Hedge ?

2012 ◽  
Vol 2 (2) ◽  
pp. 1-8 ◽  
Author(s):  
Sudi Apak ◽  
Vedat Akman ◽  
Serkan Çankaya ◽  
Sıtkı Sonmezer
Keyword(s):  
Econometric Analysis ◽  
Canadian Dollar ◽  
Swiss Franc ◽  
Sample Period ◽  
Safe Haven ◽  
Financial Variables ◽  
Volatility Index ◽  
The Us ◽  
Us Dollar ◽  
The Relationship

This paper attempts to analyze the relation among gold prices and other macroeconomic and financial variables and addresses the question whether gold is a safe haven or a hedge for investors. The study investigates the relationship by using an econometric analysis for top gold exporter and importer countries, for a sample period of 11 years from 2000 to 2011. The results are twofold (i) return of silver, USD returns and change in the volatility index influences gold returns positively whereas, Swiss Franc and Canadian Dollar returns influence gold returns negatively regardless of presence of the 2008 crisis. (ii) In times of stress, our findings indicate that Swiss Franc, Norwegian Krone and Canadian Dollar function as haven whereas, on average, Swiss Franc, Canadian Dollar and 10 year US treasuries function as a hedge against gold but the results show no evidence for the US dollar.  

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