ناکارآمدی قیمت گذاری و معاملات بازخورد در صندوق های قابل معامله طلا در ایران
فصلنامه بورس اوراق بهادار

فصلنامه بورس اوراق بهادار

ناکارآمدی قیمت گذاری و معاملات بازخورد در صندوق های قابل معامله طلا در ایران

نوع مقاله : مقاله پژوهشی

نویسندگان
گروه اقتصاد، واحد قزوین، دانشگاه آزاد اسلامی، قزوین، ایران
چکیده
یکی از انواع دارایی های مالی که از اواخر دهه 1990 رشد چشمگیری داشته، صندوق های قابل معامله در بورس است که نشان دهنده یک نوآوری با محبوبیت زیاد در بین سرمایه گذاران خرد و نهادی می باشد. وجود انحراف قیمت بین صندوق های قابل معامله و خالص ارزش دارایی آن ها می تواند منجر به ایجاد استراتژی معاملات بازخورد در بین معامله گران این دارایی ها شود. در این راستا با استفاده از مدل سنتانا-وادوانی (1992) و داده های صندوق های قابل معامله طلا در بورس کالای ایران طی دوره زمانی 1396/03/20 الی 1401/06/12، به بررسی وجود معاملات بازخورد بین معامله گران این بازار پرداخته شد. نتایج نشان داد که نوسان بازدهی این صندوق ها در مقابل اخبار مختلف، نامتقارن و منفی بوده که نشان از تأثیر بیشتر اخبار مثبت نسبت به اخبار منفی دارد. ضریب مربوط به معاملات بازخورد نشان داد که هیچگونه شواهدی مبنی بر وجود معاملات بازخورد در بازار این صندوق ها وجود ندارد. به دلیل وجود دو بازار رسمی (گواهی سپرده با هم پوشانی کامل زمان معاملات) و غیررسمی (بازار آزاد با هم پوشانی ناکامل زمان معاملات) برای معاملات دارایی پایه در ایران، معامله گران توجهی به انحراف قیمت صندوق ها نسبت به خالص ارزش دارایی آن ها ندارند. ضریب مربوط به ناکارآمدی بازار نشان داد که معامله گران این صندوق ها رفتار هدایت شده اطلاعاتی دارند. معاملات صندوق های مورد بررسی، بر پایه ناکارآمدی بازار بوده و اخبار و اطلاعات منتشره در بازار بیشترین تأثیر را بر معاملات آن ها دارد.
کلیدواژه‌ها

عنوان مقاله English

Pricing inefficiencies and feedback trading in Iranian Gold ETF

نویسندگان English

Mahdi Shaerattar
Akbar Mirzapour Babajan
Beitollah Akbari Moghaddam
Department of Economics, Qazvin Branch, Islamic Azad University, Qazvin, Iran
چکیده English

An asset class that has experienced exponential growth since the late 1990s is that of Exchange traded funds, which represent a financial innovation of huge popularity among both retail and institutional investors. The existence of price deviation between ETF's prices and their NAV can lead to the creation of feedback trading strategies among the investors of these assets. In this regard, using the standard model of Santana-Wadvani (1992) and the data of Gold ETF in Iran Mercantile Exchange during the period of 2017/06/10 to 2022/09/03, to investigate the existence of feedback trading between the traders of this market. The results showed that the returns' response of these ETFs to different news was asymmetric and negative, which shows that positive news has more impact than negative news. The coefficient of feedback trading showed that there is no evidence of the existence of feedback trading in the market of ETFs. Also, despite the existence of two formal market (with complete overlapping of trading time) and informal market (with incomplete overlapping of trading time) for underlying asset (Gold Coins) in Iran, traders do'nt pay attention to the deviation of ETF prices compared to their NAV. The coefficient of market inefficiency showed that the traders of these ETFs have informational guided behavior. Also, the trades of the investigated ETFs are based on the inefficiency of the market and the news and information published in the market have the greatest impact on their transactions.

کلیدواژه‌ها English

Exchange traded funds
Feedback trading
Pricing inefficiencies
Price deviation
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