{"title":"黄金、SENSEX和黄金交易所交易基金的因果关系研究","authors":"Rajit Verma, Dinky Dhiman","doi":"10.1007/s13404-020-00280-3","DOIUrl":null,"url":null,"abstract":"<p>Gold exchange traded funds help investors to generate the returns based on the movements of underlying commodity. In current scenario, gold ETFs are emerging as one of the best ETFs for the investments. The present study intended to determine the causal relationship between spot prices of gold, SENSEX, and ten selected BSE listed Gold ETFs. The closing prices gold ETFs, SENSEX and spot prices of gold was collected during 2015–2018. The study applied ADF root test, co-integration test, and Granger causality test to study the causal relationship. The results of the study revealed that out of ten, six gold ETFs has significant causal relationship with gold price and only two schemes has significant relationship with BSE SENSEX during 2015–2018. The study concluded that gold ETFs are largely affected by the spot price movements of gold. Therefore, an investor must understand the pricing dynamics of the underlying asset of ETF.</p>","PeriodicalId":55086,"journal":{"name":"Gold Bulletin","volume":"53 2","pages":"121 - 128"},"PeriodicalIF":2.2000,"publicationDate":"2020-05-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1007/s13404-020-00280-3","citationCount":"2","resultStr":"{\"title\":\"A causal study on gold, SENSEX, and gold exchange traded funds\",\"authors\":\"Rajit Verma, Dinky Dhiman\",\"doi\":\"10.1007/s13404-020-00280-3\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<p>Gold exchange traded funds help investors to generate the returns based on the movements of underlying commodity. In current scenario, gold ETFs are emerging as one of the best ETFs for the investments. The present study intended to determine the causal relationship between spot prices of gold, SENSEX, and ten selected BSE listed Gold ETFs. The closing prices gold ETFs, SENSEX and spot prices of gold was collected during 2015–2018. The study applied ADF root test, co-integration test, and Granger causality test to study the causal relationship. The results of the study revealed that out of ten, six gold ETFs has significant causal relationship with gold price and only two schemes has significant relationship with BSE SENSEX during 2015–2018. The study concluded that gold ETFs are largely affected by the spot price movements of gold. Therefore, an investor must understand the pricing dynamics of the underlying asset of ETF.</p>\",\"PeriodicalId\":55086,\"journal\":{\"name\":\"Gold Bulletin\",\"volume\":\"53 2\",\"pages\":\"121 - 128\"},\"PeriodicalIF\":2.2000,\"publicationDate\":\"2020-05-16\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"https://sci-hub-pdf.com/10.1007/s13404-020-00280-3\",\"citationCount\":\"2\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Gold Bulletin\",\"FirstCategoryId\":\"5\",\"ListUrlMain\":\"https://link.springer.com/article/10.1007/s13404-020-00280-3\",\"RegionNum\":4,\"RegionCategory\":\"工程技术\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q2\",\"JCRName\":\"Chemistry\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Gold Bulletin","FirstCategoryId":"5","ListUrlMain":"https://link.springer.com/article/10.1007/s13404-020-00280-3","RegionNum":4,"RegionCategory":"工程技术","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"Chemistry","Score":null,"Total":0}
A causal study on gold, SENSEX, and gold exchange traded funds
Gold exchange traded funds help investors to generate the returns based on the movements of underlying commodity. In current scenario, gold ETFs are emerging as one of the best ETFs for the investments. The present study intended to determine the causal relationship between spot prices of gold, SENSEX, and ten selected BSE listed Gold ETFs. The closing prices gold ETFs, SENSEX and spot prices of gold was collected during 2015–2018. The study applied ADF root test, co-integration test, and Granger causality test to study the causal relationship. The results of the study revealed that out of ten, six gold ETFs has significant causal relationship with gold price and only two schemes has significant relationship with BSE SENSEX during 2015–2018. The study concluded that gold ETFs are largely affected by the spot price movements of gold. Therefore, an investor must understand the pricing dynamics of the underlying asset of ETF.
期刊介绍：
Gold Bulletin is the premier international peer reviewed journal on the latest science, technology and applications of gold. It includes papers on the latest research advances, state-of-the-art reviews, conference reports, book reviews and highlights of patents and scientific literature. Gold Bulletin does not publish manuscripts covering the snthesis of Gold nanoparticles in the presence of plant extracts or other nature-derived extracts. Gold Bulletin has been published over 40 years as a multidisciplinary journal read by chemists, physicists, engineers, metallurgists, materials scientists, biotechnologists, surface scientists, and nanotechnologists amongst others, both within industry and academia. Gold Bulletin is published in Association with the World Gold Council.
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