Price formation in Indian gold market: Analysing the role of gold Exchange Traded Funds (ETFs) against spot and futures markets

The paper examines the relative efficiency of gold Exchange Traded Funds (ETF) against spot gold and gold futures in the Indian scenario, using a series of conventional and threshold cointegration statistics. The results reveal that gold ETFs and spot gold, as well as gold ETFs and gold futures, con...

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Bibliographic Details

Main Authors:	Prabhdeep Kaur, Jaspal Singh
Format:	Artigo
Language:	Inglês
Published:	Elsevier 2020-03-01
Series:	IIMB Management Review
Subjects:	Gold Gold ETFs Gold futures Gregory-Hansen statistics Toda-Yamamoto test of causality Vector error correction model (VECM)
Online Access:	http://www.sciencedirect.com/science/article/pii/S097038961730085X
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