A Study on Silver Exchange-Traded Funds (ETFs) in India: Performance Evaluation

  • M Selvaraj Director, Guide and Supervisor, Kanchi Mamunivar Government Institute for Postgraduate Studies and Research, Pondicherry University, Puducherry
  • M Deebika Ph.D. Research Scholar of Commerce, Kanchi Mamunivar Government Institute for Postgraduate Studies and Research, Pondicherry University, Puducherry.
DOI: https://doi.org/10.5281/zenodo.13304131
Keywords: Exchange-Traded Funds (ETFs); Silver ETFs; Tracking error; Illiquidity, Range-based Volatility.

Abstract

Exchange Traded Funds (ETFs) are hybrid investment vehicles that possess the features of stock shares and index mutual funds, created and redeemed by Authorized Participants (APs). This paper analyzes the short-run performance of the recently launched Silver ETFs in India for a one-year period from 2022 to 2023. The empirical assessment of the study used various performance metrics such as tracking error, appraisal ratio, Ulcer Index, Amihud’s Illiquidity, and Yang-Zhang range-based Volatility to understand the Silver ETFs. The sample data proves to be efficient with the robustness tests such as the Augmented Dickey-Fuller (ADF) Stationarity Test, Durbin Watson Autocorrelation (DWA) test, and Breusch-Pagan Heteroscedasticity (BPH) test. The tracking errors of the selected five silver ETFs traded on the National Stock Exchange (NSE) show prudent deviations from the benchmark indices yet can be considered low. The level of tracking errors obtained by the well–run silver ETFs suggests that it is possible to attain low levels of tracking error under Indian market conditions. Notably, the Silver ETFs have adjusted efficiently to the risk dynamics and outperformed their benchmark indices. The regression results reveal that the tracking errors are highly impacted by liquidity and volatility. In addition, the silver ETFs' returns and downside risks are affected by the underlying benchmark indices significantly.

JEL classification numbers: G14, G34               

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Published
2024-08-12
How to Cite
Selvaraj, M., & Deebika, M. (2024). A Study on Silver Exchange-Traded Funds (ETFs) in India: Performance Evaluation. GPH-International Journal of Business Management, 7(07), 14-33. https://doi.org/10.5281/zenodo.13304131
Issue
Vol 7 No 07 (2024): GPH-International Journal of Business Management
Section
Articles

Copyright (c) 2024 Ms. M. Deebika

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