Abstract The paper aims to examine the price discovery process and the performance of Gold Exchange Traded Funds especially with respect to two Gold ETFs, namely, Goldman Sachs Gold Exchange Traded Scheme (GoldBeEs) and SBI Gold Exchange Traded Scheme (SBIGETS), for the period 2009 – 2016. The study has employed Johansen cointegration and Johansen’s Vector Error Correction Model (VECM) for the price discovery analysis. The results of VECM reveal that the spot prices lead the Gold ETFs price during the study period. Tracking Error analysis shows that Gold ETFs have neither outperformed nor underperformed the spot price. Price Deviation analysis indicates that Gold ETFs are trading on an average lower than the spot price of gold. The entire analysis reveals that although the price discovery takes place in the spot market, Gold ETFs 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 ETFs.

中文翻译：

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黄金交易所交易基金 - 价格发现和表现分析

摘要 本文旨在研究黄金交易所交易基金的价格发现过程和表现，特别是关于两个黄金 ETF，即高盛黄金交易所交易计划 (GoldBeEs) 和 SBI 黄金交易所交易计划 (SBIGETS)，在此期间2009 年至 2016 年。该研究采用 Johansen 协整和 Johansen 向量误差校正模型 (VECM) 进行价格发现分析。VECM 的结果显示，在研究期间现货价格领先于黄金 ETF 的价格。追踪误差分析显示，黄金ETF既没有跑赢现货价格，也没有跑输现货价格。价格偏差分析表明，黄金 ETF 的平均交易价格低于黄金现货价格。整个分析表明，虽然价格发现发生在现货市场，