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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Bibliografische gegevens

Hoofdauteurs:	Prabhdeep Kaur, Jaspal Singh
Formaat:	Artigo
Taal:	Inglês
Gepubliceerd in:	Elsevier 2020-03-01
Reeks:	IIMB Management Review
Onderwerpen:	Gold Gold ETFs Gold futures Gregory-Hansen statistics Toda-Yamamoto test of causality Vector error correction model (VECM)
Online toegang:	http://www.sciencedirect.com/science/article/pii/S097038961730085X
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