Background:Gold exchange-traded funds,since introduction,are primarily aimed at tracking the price of physical gold in the financial market.This,a category of exchange-traded funds,whose units represent physical gold,...Background:Gold exchange-traded funds,since introduction,are primarily aimed at tracking the price of physical gold in the financial market.This,a category of exchange-traded funds,whose units represent physical gold,is traded on exchanges like any other financial instrument.In the Indian financial market,gold exchange traded funds were introduced a decade ago to facilitate ordinary households'participation in the bullion market.They were also designed to assist in the price discovery mechanism of the bullion market.Presentation of the hypothesis:In this paper,it is attempted to check if one of the constituents of price discovery mechanism,informational efficiency,has been achieved in gold exchange-traded funds’market.Information efficiency becomes evident only when all available information is reflected in the market price of the instrument.Testing the hypothesis:Therefore,in order to assess the weak-form efficiency of the gold exchange-traded funds market,the daily returns of five gold exchangetraded funds traded on the Indian Stock Exchange over the period March 22,2010,to August 28,2015,were used.The non-parametric runs test,the parametric serial correlation test,and the augmented Dickey-Fuller unit root test are employed.Implications of the hypothesis:The test results provide evidence that the efficient market hypothesis does not hold for the gold exchange-traded funds’market in India.Further,the test results address several underlying issues with respect to price discovery in the market under study and suggest that the Indian market for this derivative is not weak-form efficient.Hence,the factors affecting gold exchange traded-funds’market warrant the attention of the country’s regulatory bodies,as appropriate legislation in support of market efficiency is needed.展开更多
This study focuses on the Indian gold futures market where primary participants hold sentimental value for the underlying asset and are globally ranked number two in terms of the largest private holdings in the physic...This study focuses on the Indian gold futures market where primary participants hold sentimental value for the underlying asset and are globally ranked number two in terms of the largest private holdings in the physical form.The trade of gold futures relates to seasons,festivity,and government policy.So,the paper will discuss seasonality and intervention in the analysis.Due to non-constant variance,we will also use the standard variance stabilization transformation method and the ARIMA/GARCH modelling method to compare the forecast performance on the gold futures prices.The results from the analysis show that while the standard variance transformation method may provide better point forecast values,the ARIMA/GARCH modelling method provides much shorter forecast intervals.The empirical results of this study which rationalise the effect of seasonality in the Indian bullion derivative market have not been reported in literature.展开更多
文摘Background:Gold exchange-traded funds,since introduction,are primarily aimed at tracking the price of physical gold in the financial market.This,a category of exchange-traded funds,whose units represent physical gold,is traded on exchanges like any other financial instrument.In the Indian financial market,gold exchange traded funds were introduced a decade ago to facilitate ordinary households'participation in the bullion market.They were also designed to assist in the price discovery mechanism of the bullion market.Presentation of the hypothesis:In this paper,it is attempted to check if one of the constituents of price discovery mechanism,informational efficiency,has been achieved in gold exchange-traded funds’market.Information efficiency becomes evident only when all available information is reflected in the market price of the instrument.Testing the hypothesis:Therefore,in order to assess the weak-form efficiency of the gold exchange-traded funds market,the daily returns of five gold exchangetraded funds traded on the Indian Stock Exchange over the period March 22,2010,to August 28,2015,were used.The non-parametric runs test,the parametric serial correlation test,and the augmented Dickey-Fuller unit root test are employed.Implications of the hypothesis:The test results provide evidence that the efficient market hypothesis does not hold for the gold exchange-traded funds’market in India.Further,the test results address several underlying issues with respect to price discovery in the market under study and suggest that the Indian market for this derivative is not weak-form efficient.Hence,the factors affecting gold exchange traded-funds’market warrant the attention of the country’s regulatory bodies,as appropriate legislation in support of market efficiency is needed.
基金supported by the Fulbright-Nehru Doctoral Research program(Award No.2447/DR/2019-2020).
文摘This study focuses on the Indian gold futures market where primary participants hold sentimental value for the underlying asset and are globally ranked number two in terms of the largest private holdings in the physical form.The trade of gold futures relates to seasons,festivity,and government policy.So,the paper will discuss seasonality and intervention in the analysis.Due to non-constant variance,we will also use the standard variance stabilization transformation method and the ARIMA/GARCH modelling method to compare the forecast performance on the gold futures prices.The results from the analysis show that while the standard variance transformation method may provide better point forecast values,the ARIMA/GARCH modelling method provides much shorter forecast intervals.The empirical results of this study which rationalise the effect of seasonality in the Indian bullion derivative market have not been reported in literature.
