financeФинансы: теория и практика/Finance: Theory and PracticeFinance: Theory and Practice2587-56712587-7089Financial University under The Government of Russian Federation10.26794/2587-5671-2024-28-6-69-79finance-3311Research ArticleФОНДОВЫЕ РЫНКИSTOCK MARKETSАномальная доходность торгуемых золотых ETF в условиях кризиса: оценка контрстратегий против стратегий следования за трендомAbnormal Return of NSE Traded Gold ETFs in Crisis Settings: An Appraisal of Contrarian Versus Momentum Strategieshttps://orcid.org/0000-0002-0013-5488АравиндM.AravindM.

М. Аравинд - PhD (финансы), доцент, доцент кафедры делового администрирования

Керала

M. Aravind - PhD (Finance), Assist. Prof. in Business Administration

Kerala

aravind.1551@gmail.comГосударственный юридический колледж ТриссурИндияGovernment Law College ThrissurIndia2024040120252866979Copyright © Аравинд M., 20242024Аравинд M.Aravind M.Данная работа распространяется под лицензией Creative Commons Attribution 4.0.This work is licensed under a Creative Commons Attribution 4.0 License.https://financetp.fa.ru/jour/article/view/3311

Данное исследование направлено на изучение эффективности золотых (ETF) на Национальной фондовой бирже (NSE) в условиях пандемии. Подробно изучены торговые стратегии, такие как контртрендовая и тактика импульса, применяемые участниками рынка к золотым ETF на разных временных горизонтах. В данном исследовании также предпринята попытка проверить, рассматривают ли индийские инвесторы фонды, основанные на золоте, в качестве безопасного убежища в условиях кризиса. В статье проанализированы тенденции ежедневной доходности золотых ETF и индекса широкого рынка за последние четыре года. Метод аномальной доходности с поправкой на риск применен на различных временных горизонтах, так как эта техника оказалась более надежной для данной темы и кажется довольно новаторской в существующей литературе. Участники рынка эффективно учитывали новости о пандемии в своих торговых стратегиях. Анализ подтвердил торговую активность, связанную с золотыми ETF, несмотря на волны COVID‑19. Данное исследование указывает на то, что управляющие фондами должны уделять больше внимания золотым ETF в своих портфелях наряду с обыкновенными акциями, так как портфели, диверсифицированные золотыми ETF, смогли минимизировать свои потери, вызванные волнами COVID. С экономической точки зрения золотые ETF позволили перенаправить больше средств из домашних хозяйств в корпоративный сектор даже в период кризиса.

This study aims to scan the efficiency of NSE gold ETFs in the context of the pandemic. The trading strategies such as the contrarian and the momentum tactics employed by the market participants towards gold ETFs in different time horizons were observed in detail. This study also attempt to check whether gold based funds is considered as a safe haven by the Indian investors in crisis settings. Daily return trend of gold ETFs and the broad market index for past four years were duly examined. The risk adjusted abnormal return method was employed for different time horizons as this technique observed to be more reliable for the topic and seems to be quite novel to the existing body of literature. The market participants were efficient in accommodating the pandemic news in their trading strategies. The analysis confirmed trading momentum attributed to gold ETFs despite the COVID‑19 waves. This research points that fund managers should give more weightage for gold based ETFs in their portfolio along with common stock as the portfolios diversified with gold ETFs were able to marginalize its loss impacted by the COVID waves. From economic point of view gold ETFs enabled to divert more funds from domestic households to the corporate sector even during the crisis period.

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The authors declare that there are no conflicts of interest present.