Abnormal Returns in Gold and Silver Exchange Traded Funds

Journal of Index Investing, Vol. 2, No. 2

https://doi.org/10.3905/jii.2011.2.2.096

Posted: 21 May 2019

See all articles by Michael Naylor

Michael Naylor

Massey University - School of Economics and Finance

Udomsak Wongchoti

Massey University - School of Economics and Finance

Chris Gianotti

affiliation not provided to SSRN

Date Written: February 8, 2011

Abstract

Exchange Traded Funds (ETFs) are one of the fastest growing areas of investing and have significantly changed investor behavior, yet there is limited academic research on ETFs, with minimal on commodity based ETFs. This paper is the first to examine whether abnormal returns are available for Gold and Silver ETFS.

Gold and silver ETFs have attracted substantial investments, with $40.5 billion USD in gold (GLD) is and $5.22 billion in silver (SLV). Our study shows that while inefficiency is present in the gold and silver ETF markets for the period 2006-2009, when risk is factored the abnormal returns evaporate. However, use of simple filter trading rules does allow abnormal returns. GLD and SLV exhibit similar characteristics to the underlying physical assets and when ignoring risk are able to provide investors with greater profit than if investing in the market.

Keywords: Abnormal returns, exchange traded funds, commodities, filter trading

JEL Classification: G10, G11, G12, G14

Suggested Citation

Naylor, Michael and Wongchoti, Udomsak and Gianotti, Chris, Abnormal Returns in Gold and Silver Exchange Traded Funds (February 8, 2011). Journal of Index Investing, Vol. 2, No. 2. Available at SSRN: https://ssrn.com/abstract=1869456

Michael Naylor (Contact Author)

Massey University - School of Economics and Finance ( email )

Private Bag 11-222
Palmerston North, 30974
New Zealand

Udomsak Wongchoti

Massey University - School of Economics and Finance ( email )

Private Bag 11-222
Palmerston North, 30974
New Zealand

Chris Gianotti

affiliation not provided to SSRN ( email )

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