تجزيه و تحليل كاركرد كشف قيمت صندوقهاي قابل معامله طلا در ايران

Gold Exchange Traded Fund : Price Discovery and Performance Analysis

ﯾﮑﯽ از اﺑﺰارﻫﺎي ﻣﺎﻟﯽ ﺟﺪﯾﺪي ﮐﻪ ﺑﻪ ﺗﺎزﮔﯽ وارد ﺑﺎزار ﺳﺮﻣﺎﯾﻪ ﮐﺸﻮر ﺷﺪه اﺳﺖ، ﺻﻨﺪوقﻫﺎي ﻗﺎﺑﻞ ﻣﻌﺎﻣﻠﻪ ﮐﺎﻻﯾﯽ )ETF( ﺑﺎ داراﯾﯽ ﭘﺎﯾﻪ ﻃﻼ ﻣﯽﺑﺎﺷﺪ. ﻫﺪف از ﻧﮕﺎرش ﻣﻘﺎﻟﻪ ﺣﺎﺿﺮ ﭘﺎﺳﺦ ﺑﻪ اﯾﻦ ﺳﺆال اﺳﺖ ﮐﻪ آﯾﺎ ETF ﻫﺎي ﻃﻼ در اﯾﺮان ﺑﻪ ﯾﮑﯽ از ﮐﺎرﮐﺮدﻫﺎي اﺻﻠﯽ ﺧﻮد، ﯾﻌﻨﯽ ﮐﺸﻒ ﻗﯿﻤﺖ ﺻﺤﯿﺢ دﺳﺖ ﯾﺎﻓﺘﻪ اﺳﺖ ﯾﺎ ﺧﯿﺮ؛ ﺑﺮاي ﺑﺮرﺳﯽ اﯾﻦ ﻣﻮﺿﻮع، از اﻃﻼﻋﺎت ﻣﺮﺑﻮط ﺑﻪ ﻗﯿﻤﺖﻫﺎي روزاﻧﻪ ﺳﮑﻪ ﺗﻤﺎم ﺑﻬﺎر آزادي ﻃﺮح اﻣﺎم ﺧﻤﯿﻨﯽ )ره( و ﯾﮑﯽ از ﺻﻨﺪوق ﻃﻼي ﻓﻌﺎل از ﺗﺎرﯾﺦ 1396/03/20 ﺗﺎ 1398/06/27 اﺳﺘﻔﺎده ﺷﺪه اﺳﺖ. ﻧﺘﺎﯾﺞ ﻧﺸﺎن ﻣﯽدﻫﺪ ﮐﻪ ﻋﻠﯿﺖ از ﺑﺎزار ﻧﻘﺪي ﺑﻪ ﺳﻤﺖ ﺑﺎزار ETF ﻃﻼ ﺑﻮده و 64 درﺻﺪ ﮐﺸﻒ ﻗﯿﻤﺖ در ﺑﺎزار ﻧﻘﺪي ﺻﻮرت ﻣﯽﮔﯿﺮد و اﯾﻦ اﺑﺰار ﺻﺮﻓﺎً ﭘﯿﺮو ﺑﺎزار ﻧﻘﺪي ﻣﯽﺑﺎﺷﺪ. ﻣﻌﯿﺎر ﺧﻄﺎي ردﯾﺎﺑﯽ ﻧﺸﺎن از ﻋﻤﻠﮑﺮد ﺑﻬﺘﺮ ﺑﺎزار ﻧﻘﺪي داﺷﺘﻪ و رﻫﯿﺎﻓﺖ اﻧﺤﺮاف ﻗﯿﻤﺖﮔﺬاري ﻧﯿﺰ ﺑﯿﺎﻧﮕﺮ اﯾﻦ اﺳﺖ ﮐﻪ ETF ﻃﻼ ﻧﺴﺒﺖ ﺑﻪ ﺑﺎزار ﻧﻘﺪي ﮐﻤﺘﺮ ﻣﻮرد اﻗﺒﺎل ﻋﻤﻮﻣﯽ ﺑﻮده اﺳﺖ. ﺑﻨﺎﺑﺮاﯾﻦ ﮐﺎرﮐﺮد ﮐﺸﻒ ﻗﯿﻤﺖ ﻣﻮرد اﻧﺘﻈﺎر ﺑﺮاي ETF ﻫﺎي ﻃﻼ در اﯾﺮان ﻣﺤﻘﻖ ﻧﺸﺪه اﺳﺖ ﮐﻪ اﻟﺒﺘﻪ ﺑﺎ ﺗﻮﺟﻪ ﺑﻪ ﻋﻤﺮ ﮐﻮﺗﺎه ETF ﻫﺎي ﻃﻼ و ﺣﺠﻢ ﮐﻮﭼﮏﺑﺎزار آن ﻧﺴﺒﺖ ﺑﻪ ﺑﺎزار ﻧﻘﺪي ﺳﮑﻪ، ﻧﺘﺎﯾﺞ ﺑﻪ دﺳﺖآﻣﺪه ﺑﺎ واﻗﻌﯿﺖﻫﺎي اﻗﺘﺼﺎدي اﯾﺮان ﺗﻄﺎﺑﻖ دارد.

The paper aims to examine the price discovery process and the performance of Gold Exchange Traded Funds (ETF) in Iran Mercantile Exchange (IME) for the period 2017/06/10 – 2019/09/18. The study has employed Johansen cointegration and Johansen’s Vector Error Correction Model (VECM) for the price discovery analysis. The results show that the spot prices lead the Gold ETF price during the study period and ETF is only following the spot prices. Also Tracking Error analysis shows that, Gold ETF have neither outperformed nor underperformed the spot price. Price Deviation analysis indicates that Gold ETF is trading lower than the spot price of gold. The entire analysis reveals that although the price discovery takes place in the spot market, Gold ETF have performed as well as physical gold and the slight difference in price with that of Gold is only because of certain fees, which are applicable in the management of Gold ETF. Therefore, the expected price discovery for gold ETF in IME has not been realized.