黃金ETF基金流量與黃金報酬之關聯研究_以SPDR Gold Shares為例

Abstract

The main purpose of this study is to explore whether the gold market support the Price Pressure hypotheses and the Feedback Trading hypotheses. This study also dissertates the relationship between gold ETF fund flows(FLOW) and gold market returns (RETURN). We use the daily data of SPDRR Gold Shares which is the biggest gold ETF of the world, and the London PM Fix to be the international gold price. The results from VAR model suggest that there existing positive relations from 1-2 days lagged FLOW to RETURN, and negative relations between 3-5 days lagged FLOW and RETURN. It means that if investors buy SPDR Gold Shares, FLOW will create a price pressure to arise RETURN. As time goes on, the price pressure will recede and RETURN will reverse. The results are compatible with the Price Pressure hypotheses. Furthermore, 1-3 days lagged RTEURN affect FLOW while they are having significant positive relations. The force of 1 day lagged RETURN to FLOW is stronger than the other days. It means that if the past 1-3 days performance of gold market returns is good, investors will buy SPDR Gold Shares. The conclusion is consonant with the Feedback Trading hypotheses. Moreover, the empirical evidence from Granger causality test indicates that there is a two-way feedback between FLOW and RETURN. Therefore, investors can rely on the past fund flows of SPDR Gold Shares to predict the performance of gold market returns. It also hints that common investors choose SPDRR Gold Shares to participate in the gold market.