Abstract The paper examines the relative efficiency of gold Exchange Traded Funds (ETF) against spot gold and gold futures in the Indian scenario, using a series of conventional and threshold cointegration statistics. The results reveal that gold ETFs and spot gold, as well as gold ETFs and gold futures, converge together in the long run. Also, movements in spot prices and futures prices are found to lead those in ETF prices, thus, providing scope for executing profitable trading strategies in ETFs. The study further explores the probable reasons that might account for the relative inefficiency observed in ETF prices.

中文翻译：

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印度黄金市场的价格形成：分析黄金交易所交易基金（ETF）对现货和期货市场的作用

摘要本文使用一系列常规和阈值协整统计数据，研究了印度情景下黄金交易所交易基金（ETF）对现货黄金和黄金期货的相对效率。结果表明，从长远来看，黄金ETF和现货黄金以及黄金ETF和黄金期货会聚在一起。同样，现货价格和期货价格的波动被发现领先于ETF价格，从而为在ETF中执行获利交易策略提供了空间。该研究进一步探讨了可能解释ETF价格相对低效的可能原因。