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The influence of ETFs on the price discovery of gold, silver and oil

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  • Stoyu Ivanov

Abstract

In this study we examine gold, silver and oil exchange traded funds (ETFs) and their relation to their respective futures instruments and underlying commodities by using intradaily data. We find that the gold, silver and oil ETFs closely track the performance of their underlying assets by using tracking error and pricing deviation metrics. It has been documented in the finance literature that price discovery occurs in the futures market. We test whether in recent times the existence of ETFs has changed the dominating role of the futures market in price discovery. We find that the availability of ETFs has shifted price discovery for gold and silver to the ETF market, while the oil market has price discovery occurring still predominantly in the futures market. Copyright Springer Science+Business Media, LLC 2013

Suggested Citation

  • Stoyu Ivanov, 2013. "The influence of ETFs on the price discovery of gold, silver and oil," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 37(3), pages 453-462, July.
    • Handle: RePEc:spr:jecfin:v:37:y:2013:i:3:p:453-462
    DOI: 10.1007/s12197-011-9205-8
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    References listed on IDEAS

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    More about this item

    Keywords

    Gold; Silver; Oil; ETF; Futures; Spot; Price Discovery; G13; G14;
    All these keywords.

    JEL classification:

    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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