Impulsiveness in the Prices and Volume Traded of Gold Exchange Traded Funds: An Empirical Evidence from Select Gold ETF’s Listed on National Stock Exchange

Abstract

Purpose: The Study attempts to describe the role of Gold Exchange Traded Funds (ETFs) in portfolio management and how it benefits the investors it terms of price, flexibility and efficiency. The study also attempts to determine the price and volume impulsiveness of the few listed Gold ETFs on NSE.

Design/ Methodology/Approach: The daily basis data i.e. Opening Price, Closing Price and total Volume traded of 7 listed Gold ETFs is collected from 1st April, 2012 – 31st March 2017. In order to test the data empirically and to discuss the impulsiveness of prices and quantity traded under VAR framework, E-GARCH model is being used. To add robustness to the Co-integration, Granger Causality and VECM were also conducted.

Findings: The result reveals the presence of impulsiveness in the prices and volume traded of Gold ETFs and investor’s portfolio will become more diversified and riskless with the presence of Gold stocks which will be beneficial for retail investors. Practical Implications: The result will help investors in creating optimal portfolio allotment, risk management and forecasting volatility as far as Gold ETFs are concerned.