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.

scholarly journals Price Discovery Mechanism in Spot and Futures Market of Agricultural Commodities: The Case of India

2018 ◽  
Vol 5 (2) ◽  
Author(s):  
Minakshi .
Keyword(s):  
Price Discovery ◽  
Emerging Market ◽  
Futures Prices ◽  
Correction Model ◽  
Vector Error Correction ◽  
Spot Prices ◽  
Vector Error ◽  
Long Run ◽  
The Relationship

There has been increasing focus by emerging market researchers, policymakers and regulators for investigating price discovery, relationship between future and physical market and accessible trading and risk management instruments for the benefit of various stakeholders and thus contributing to the development of literature. The central question of this paper is examining the role of influence of one market on the other and the role of each market segment in price discovery in the Indian context. Johansen Vector Error Correction Model (VECM) has been employed to examine the relationship between the spot and futures prices. The cointegration results do not confirm the existence of long-run relationship between spot and futures prices. It is thus, implied that futures prices unlikely serve as market expectations of subsequent spot prices of selected agri-commodities in India and do not help in price discovery process.

Analysis of Price Discovery Effect in the Single Stock Futures Market

2018 ◽  
Vol 26 (4) ◽  
pp. 425-463
Author(s):  
Woo–baik Lee
Keyword(s):  
Price Discovery ◽  
Futures Market ◽  
Spot Price ◽  
Vector Error Correction ◽  
Vector Error ◽  
Securities Transaction Tax ◽  
Market Linkage ◽  
The Difference ◽  
Transaction Taxes ◽  
Single Stock Futures

This paper examines the price dynamics in the single stocks futures and spot markets. In order to enhance the liquidity of the stock futures market, Korea Exchange introduced the liquidity provider in 2014, and exempted the securities transaction taxes on stocks sold for hedging purposes of liquidity provider from 2015. This study performed a vector error correction model (VECM) based on spot-futures market linkage to evaluate the effectiveness of the liquidity policy by examining the difference in the price discovery around the event. The main empirical analysis results are summarized as follows. First, a statistically significant sample of price discovery over the entire period was evident in the interrelationship between spot and futures. This implies that stock futures have information effect equivalent to spot price, which is different from the previous studies in which futures lead the spot price discovery significantly as in the case of KOSPI200 futures market. Second, the tendency of feedback between spot and futures is consistent in price discovery even after introduction of liquidity provider and exemption of securities transaction tax. Overall, empirical results suggest that the effectiveness of the stock futures market policy is limited during the sample period and the additional measures to enhance the long term activation are needed.

Commodity Exchange-Traded Funds

2018 ◽  
Author(s):  
Christopher Milliken
Keyword(s):  
Portfolio Diversification ◽  
Futures Contracts ◽  
Spot Price ◽  
Exchange Traded Funds ◽  
Investment Strategies ◽  
Regulatory Structure ◽  
Commodity Exchange ◽  
Asset Class ◽  
Exchange Traded Fund

Commodity exchange-traded funds (ETCs), which debuted in 2004, enable investors to access an asset class previously difficult or expensive to access. Although a small segment of the overall exchange-traded fund (ETF) universe, ETCs have grown in popularity with both speculators and investors looking for long-term portfolio diversification. Examples of the types of commodities that are now accessible through ETCs include gold, oil, and agricultural. The literature on ETCs is limited, but academic and industry work has centered on using futures contracts to replicate the performance of the underlying commodities spot price as well as the effect additional capital has had on the integrity of the futures market. This chapter covers this topic by reviewing the growth, investment strategies, and regulatory structure of ETCs as well as the underlying effects these funds have had on the underlying markets with which they engage.

Do ETFs outperform CEFs in fixed income investing?

2015 ◽  
Vol 30 (4) ◽  
pp. 231-246 ◽  
Author(s):  
C. Edward Chang ◽  
Thomas M. Krueger ◽  
H. Doug Witte
Keyword(s):  
Performance Measures ◽  
Tracking Error ◽  
Exchange Traded Funds ◽  
Fixed Income ◽  
Turnover Rates ◽  
Operating Characteristics ◽  
Content Type ◽  
Market Values ◽  
Significant Difference ◽  
And Performance

Purpose – For a number of reasons ranging from their more recent introduction to their perceived lesser excitement relative to stock-based peers, there have been few studies of fixed income (mainly bond) exchange-traded funds (ETFs). The purpose of this paper is to fill the void by comparing performance measures of fixed income ETFs to fixed income closed-end funds (CEFs). Design/methodology/approach – This paper examines operating characteristics as well as risk and performance measures of all available fixed income ETFs and CEFs in the USA over the last five and ten years ending on December 31, 2014. Operating characteristics include expense ratios, annual turnover rates, tax cost ratios, and tracking error ratios. Performance measures include average annual returns, risks (measured by standard deviations), and risk-adjusted returns (measured by Sharpe ratios and Sortino ratios). Findings – This study finds material and significant difference in a variety of expenses, return measures, and risk measures. Sharpe and Sortino ratio significance is highly dependent on whether net asset values or market values serve as the dependent variable. ETFs would be the preferred choice of fixed income investors who are presumed to be focussing on market-based return measures. Originality/value – This paper empirically compares operating characteristics as well as risk and performance measures of US fixed income ETFs and fixed income CEFs in the same Morningstar categories over the last five and ten years.

scholarly journals Dynamic price relationships and price discovery among cheese markets

2020 ◽  
pp. 1-13
Author(s):  
Hernan A. Tejeda ◽  
Man-Keun Kim
Keyword(s):  
Price Discovery ◽  
The United States ◽  
Relative Price ◽  
Cottage Cheese ◽  
Correction Model ◽  
Vector Error Correction ◽  
Dynamic Price ◽  
Vector Error ◽  
Price Relationship ◽  
Price Relationships

The United States (U.S.) cheese sector has been steadily growing throughout the years. Since 1980, U.S. consumers have doubled their annual consumption of cheese, currently at about 37.9 lbs. per capita in 2018 excluding cottage cheese. Cheese varieties are generally classified as American type (Cheddar, Monterey and others), Italian type (Mozzarella and others), and Other type (Swiss, Muenster and others) since they serve different markets. American cheese is consumed regularly in hamburgers, sandwiches and in similar settings. Italian cheese is typically consumed in pizzas, pasta and Italian cuisine. Despite the burgeoning growth in cheese demand, there has been no study addressing the dynamic price relationship among different varieties of cheese. This study investigates the price discovery process among cheese varieties: Cheddar, Mozzarella, Swiss, Muenster, and Monterey by using a vector error correction model and standard innovation accounting. Results indicate relative price interaction among different varieties of cheese, providing empirical evidence of some decouplment or separation among American (Cheddar and Monterey), Italian (Mozzarella), and Other type (Swiss). An exemption is Muenster which despite being classified as Other type of cheese responds to American’s Cheddar.

An Empirical Analysis on Change in Price Discovery of KOSPI200 Futures Through Market Maturity Process

2006 ◽  
Vol 14 (2) ◽  
pp. 51-77
Author(s):  
Woo–baik Lee
Keyword(s):  
Error Correction ◽  
Trading Volume ◽  
Price Discovery ◽  
Futures Market ◽  
Spot Price ◽  
Sample Period ◽  
Information Share ◽  
Spot Prices ◽  
Intraday Data ◽  
Arbitrage Opportunity

This paper estimates the contribution of KOSPI200 futures to spot price discovery based on methodology of ‘information share’, which is suggested by Hasbrouck (1995). Using the intraday data covering sample period from year 1997 to 2003, I estimate information share with specification of Vector Error Correction Model. Main empirical findings are summarized as followings; First. estimate of information share is above 60 percent on average through-out the entire sample period. Second. the contribution of KOSPI200 futures to error correction increased during the recent year of sample period. showing that futures price have strong tendency to lead the spot price. Third. price discovery of KOSPI200 futures have significantly positive relationship with program trading volume and seems to increase under contango. These empirical findings explain the ‘market maturity effect’ that role of futures in spot price discovery enhances as cointegration between futures and spot prices strengthens and futures market countervails the arbitrage opportunity. In general. this paper presents that mature futures market Significantly contributes to spot market efficiency and price discovery process.

An Evaluation of the Tracking Performance of Exchange Traded Funds (ETFs): The Case of Indian Index ETFs

2021 ◽  
pp. 097226292199648
Author(s):  
Vanita Tripathi ◽  
Aakanksha Sethi
Keyword(s):  
Tracking Performance ◽  
Capital Asset Pricing ◽  
Exchange Traded Funds ◽  
Tracking Errors ◽  
Vector Error Correction ◽  
Vector Error ◽  
Long Run ◽  
Asset Value ◽  
Tracking Ability ◽  
The Usa

The present study investigates how efficiently India-domiciled exchange traded funds (ETFs) replicate the returns of their underlying indices and analyses the factors that determine the tracking performance. We use a three-pronged approach involving Capital Asset Pricing Model (CAPM) regression, cointegration-Vector Error Correction Model methodology and tracking errors (TEs) to assess tracking efficiency. Random-effects panel regression is employed to evaluate how fund-specific factors influence tracking ability. We find that ETFs carry significantly lower exposure towards their indices than what their objective would suggest. Long-run linkages with benchmarks exist for most ETFs, but the price deviations from the indices are fairly persistent. The TEs for the majority of the funds are large and non-trivial. Bid-ask spreads, price-net asset value deviations, fund’s age and, to some extent, its size are the primary factors that influence tracking performance. ETFs in developed markets such as the USA and Europe have been found to exhibit superior benchmarking abilities. The study is expected to assist investors in developing a more efficient ETF portfolio and to help fund providers improve the quality of their offerings.

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.

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