Pricing inefficiencies and feedback trading in Iranian Gold ETF

Message:
Article Type:
Research/Original Article (دارای رتبه معتبر)
Abstract:

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.

Language:
Persian
Published:
Journal of Securities Exchange, Volume:16 Issue: 64, 2024
Pages:
147 to 168
https://magiran.com/p2709281  
دانلود و مطالعه متن این مقاله با یکی از روشهای زیر امکان پذیر است:
اشتراک شخصی
با عضویت و پرداخت آنلاین حق اشتراک یک‌ساله به مبلغ 1,390,000ريال می‌توانید 70 عنوان مطلب دانلود کنید!
اشتراک سازمانی
به کتابخانه دانشگاه یا محل کار خود پیشنهاد کنید تا اشتراک سازمانی این پایگاه را برای دسترسی نامحدود همه کاربران به متن مطالب تهیه نمایند!
توجه!
  • حق عضویت دریافتی صرف حمایت از نشریات عضو و نگهداری، تکمیل و توسعه مگیران می‌شود.
  • پرداخت حق اشتراک و دانلود مقالات اجازه بازنشر آن در سایر رسانه‌های چاپی و دیجیتال را به کاربر نمی‌دهد.
In order to view content subscription is required

Personal subscription
Subscribe magiran.com for 70 € euros via PayPal and download 70 articles during a year.
Organization subscription
Please contact us to subscribe your university or library for unlimited access!