금 상장지수펀드의 변동성 추정과 전이효과에 관한 연구

This study focuses on analyzing the information asymmetry and the transfer effects on the volatility of gold price and gold ETFs (exchange-traded funds) to address preemptively any risks arising from investments in gold ETFs which is firmly recognized as one of the alternative investments after the financial crisis of 2008. Our analysis shows the following results: First, the demand for gold ETFs is dependent on the price movement of gold whereas the gold price goes up with the gold ETFs and down with the U.S. dollar index (DXY). Second, the volatility of gold ETFs has a positive effect on the volatility of the gold price, resulting in a decline in the price. Third, the volatility of gold ETFs and the volatility of the gold price are transferred negatively between them. Fourth, the volatility of the gold price is negatively leveraged against the volatility of gold ETFs while the volatility of the gold price is low, resulting in an increase in the demand for gold ETFs. Lastly, the VIX is positively transferred to the volatility of the gold price while the volatility of the gold price is high, resulting in a rise of the gold price. We conclude that investors in gold need to increase their holdings of gold ETFs when the volatility of the gold price is subsiding and to address preemptively the risks of gold investments when the volatility of the gold price is rising. In addition, investors in gold may increase their holdings of gold ETFs as a safe asset when the volatility of the VIX is rising.