The tracking, profitability and inflation risk hedging performance of gold ETFs in the UK during 2004 – 2014

Haji Mohamad Zubir, Ahmad Shauqi Bin (2018). The tracking, profitability and inflation risk hedging performance of gold ETFs in the UK during 2004 – 2014. University of Birmingham. Ph.D.

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Gold ETFs are relatively new instruments that were introduced only recently. Consequently, there are many things that are not known about them. Such things include whether the gold ETFs track physical gold prices, and returns, well in the UK, whether the introduction of the gold ETFs in the UK affected the gold mutual funds in the country and whether the gold ETFs hedged, or can hedge inflation. We find that tracking performance of every gold ETF categories is different. Further, individual tracking performance of every gold ETF differs despite of having similar underlying asset. The best individual gold ETF in tracking is a gold ETF that uses physical gold as its underlying asset. Not only it has the smallest tracking error compared to other gold ETFs, its tracking error is also smaller compared to gold mutual funds. In terms of substitutability, we didn’t find any evidence to conclude that gold ETFs are substitutes for gold mutual funds, based on event study and regression analysis. Finally, the hedging capability of gold ETFs against inflation rates in the UK is found to be better than the hedging capability of inflation-linked bond ETFs, although both types of ETF track the inflation rates well.

Type of Work: Thesis (Doctorates > Ph.D.)
Award Type: Doctorates > Ph.D.
College/Faculty: Colleges (2008 onwards) > College of Social Sciences
School or Department: Birmingham Business School
Funders: Other
Other Funders: Ministry of Higher Education, Malaysia, Universiti Malaysia Terengganu
Subjects: H Social Sciences > HG Finance


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