| Gold ETF (Exchange Traded Fund), is a kind of financial derivatives which based on gold assets.lt tracks gold spot price fluctuations.The China Securities Regulatory Commission has approved to distribute2Gold ETFs, GuoTai Gold ETF (June24th) and Hua’An Gold ETF (July24) in2013. The Gold ETFs have been considered as a channel between Shanghai Gold Exchange and The domestic Securities Exchange, which makes two capital market circulation successfully. Look from the operation mechanism, Gold ETFs receives the ordinary ETFs’ advantages, like trade convenience, transparent structure, low cost and simple investment. Whether as a long-term strategic capital configuration tool, or short-term arbitrage trading products, Gold ETFs are expected to become a typical "gold" product for the domestic investors, including individual or institutional investors.In view of this, this paper mainly through Hua’An Gold ETF offering nearly1years of trading date, the empirical analysis on a comprehensive study of gold ETF market in China:(1) Through the error correction model, impulse response function and variance decomposition model to study the gold ETF price and gold spot market price guide relationship between each other.(2) Through GARCH model to calculate the volatility of gold prices to determine gold ETF launched its influence on the volatility of spot gold.(3) In the growth rate of gold trading volume as a measure of market liquidity index, using the T test/nonparametric test, to study the effect of gold ETF launched on the spot market liquidity.(4) By analyzing the reality of gold ETF pricing factors determine the presence of arbitrage between gold etfs and other gold market range, makes an empirical analysis on the gold ETF arbitrage.Finally, based on the empirical results, we make some recommendations,in order to provide some references for the development of China’s gold ETF markets and investors’ trading strategies. |
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