mahdi shaerattar

An asset class that has experienced exponential growth since the late 1990s is that of Exchange traded funds, which represent a financial innovation of huge popularity among both retail and institutional investors. The existence of price deviation between ETF's prices and their NAV can lead to the creation of feedback trading strategies among the investors of these assets. In this regard, using the standard model of Santana-Wadvani (1992) and the data of Gold ETF in Iran Mercantile Exchange during the period of 2017/06/10 to 2022/09/03, to investigate the existence of feedback trading between the traders of this market. The results showed that the returns' response of these ETFs to different news was asymmetric and negative, which shows that positive news has more impact than negative news. The coefficient of feedback trading showed that there is no evidence of the existence of feedback trading in the market of ETFs. Also, despite the existence of two formal market (with complete overlapping of trading time) and informal market (with incomplete overlapping of trading time) for underlying asset (Gold Coins) in Iran, traders do'nt pay attention to the deviation of ETF prices compared to their NAV. The coefficient of market inefficiency showed that the traders of these ETFs have informational guided behavior. Also, the trades of the investigated ETFs are based on the inefficiency of the market and the news and information published in the market have the greatest impact on their transactions.

Exchange Traded Funds (ETFs) have so many features like low cost, tax efficiency, liquidity and stock like attributes which make it most attractive. Because of this, ETFs are the most popular type of investment destination. Intuitively, because of their ease and low cost of trading, ETFs may be appealing to individual (unsophisticated, uninformed) investors who are more likely to chase trends, raising a concern over the impact of their introduction on the overall market efficiency. The purpose of this article is to examine the strategy of feedback trading and investors’ behavior ETF in the capital market of Iran for the first time. For this purpose, the daily data of seven ETFs 2013/10/07-2023/03/20 and Santana-Wadvani model (1992) have been used. The results showed that despite the existence of a fully overlapping market for underlying asset transactions, these ETFs are traded below their net asset value on most trading days. The results of the estimation of the feedback trading model showed that there is no evidence of the existence of feedback trading in ETFs and traders do not pay attention to their past performance. The market of these ETFs is efficient, which can be attributed to the professional management of these ETFs

One of the key functions of financial markets is price discovery that refers to the use of assets prices for pricing other markets transactions. Since the introduction of exchange-traded funds and their increasing popularity, the use of these tools has led to discussions regarding the transfer of the price discovery process in related markets. Saffron ETF is one of the types of commodity ETF that have recently been traded in the Iran's capital market. Considering the importance of saffron among agricultural products, in this article, the issue of price discovery in relation to this product has been investigated. In order to investigate this issue, the daily data of Saharkhiz saffron certificate and tradable fund from 2021/10/26 to 2020/04/09 was studied using the time-varying price discovery model. Johansen's test shows the existence of a long-term relationship between these two variables. The Granger causality test showed that the causality is from the Spot to the ETF market, so that changes in the Spot are the cause of changes in the ETF market. Finally, the use of time-varying price discovery, in addition to verifying the causality test, showed that more than 85% of the price discovery process takes place in the Spot market and only 15% of price discovery takes place in the ETF market, which shows that it is not realized, which shows the non-fulfillment of the ETF price discovery function in Iran's capital market.

Gold exchange traded fund is one of the new financial instrumentss that underlying asset is gold and traded in the capital markets. This article examines the pricing deviation of the four gold funds on the Iran Mercantile Exchange from their underlying asset index. The main purpose of this study is investigate the effect of underlying asset shocks on the Gold exchange traded funds’ pricing deviation. In order to achieve this purpose, employed daily data of Emami Coin, Gold ETFs in Iran (Tala, Ayar, Zar, Gohar), Vector Error Correction Model (VECM) and Impulse Response Function (IRF). Results The results shown that pricing deviation is stationarity and predictable. Therefore can be considered an implicit transaction cost an Gold ETF. The reason for the predictability of the pricing deviation stems from its stationarity and the specific price discovery processes for this asset class. Utilization of Impulse Response Function shown that the shock effect of the underlying asset was the same and do not persist for more than six trading days, Which indicates the relative pricing efficiency of these funds

The paper aims to examine the price discovery process and the performance of Gold Exchange Traded Funds (ETF) in Iran Mercantile Exchange (IME) for the period 2017/06/10 – 2019/09/18. The study has employed Johansen cointegration and Johansen’s Vector Error Correction Model (VECM) for the price discovery analysis. The results show that the spot prices lead the Gold ETF price during the study period and ETF is only following the spot prices. Also Tracking Error analysis shows that, Gold ETF have neither outperformed nor underperformed the spot price. Price Deviation analysis indicates that Gold ETF is trading lower than the spot price of gold. The entire analysis reveals that although the price discovery takes place in the spot market, Gold ETF 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 ETF. Therefore, the expected price discovery for gold ETF in IME has not been realized.