Tracking the Gold Return of Gold ETF in Stock Exchange of Thailand
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Abstract
The purpose of this research was to study and compare rates of returns on each of Gold ETFs registered at the Stock Exchange of Thailand to reflect prices and returns on gold spot, considering tracking errors (TE) in accordance with the definition as defined by Ivanov (2013). Data from daily closing prices of the gold spot and 4 gold ETFs registered at the Stock Exchange of Thailand during 2013 – 2015 were collected and calculated for returns, and tested to determine tracking errors of those returns, or tested to determine relationship of movement in prices between gold spot and gold ETFs using t-test.
Findings revealed that returns of all 4 gold ETFs chosen in this research could significantly reflect gold spot prices well with level of confidence of 95% during the study period. Findings could reflect the concept of efficient financial market and pricing arbitrage well. As such, it could reflect that the prices of gold spot and gold ETFs would not move in different direction beyond the predetermined boundary.
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References
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