Journal of Agricultural Economics & Development
Iranian Agricultural Economics Society (IAES)

Feedback Trading in Saffron Exchange Traded Funds

Document Type : Research Article-en

Authors

M. Shaerattar
A. Mirzapour Babajan

Department of Economics, Qazvin Branch, Islamic Azad University, Qazvin, Iran

https://doi.org/10.22067/jead.2023.80030.1171
Abstract
Commodity Exchange Traded Funds (ETF) are one type of ETF that underlying assets are agricultural products, energy or metals instead of stocks. These ETFs expose their investors to the market of various commodities in different ways, such as physical commodity, futures of single commodity, futures of baskets commodities, equities with exposures to commodities in various forms. In recent years, this financial instrument has become one of the important investment options among several people by creating many advantages. Despite these developments, scarce evidence exists in the current literature on the feedback trading of ETF investors. The objective of this paper is examination of feedback trading in behavior investors of Saffron ETF in Iran. For this purpose, daily data of two Saffron ETF for January 3, 2021 - Novenber 11, 2022 and Sentana and Wadhwani (1992) model was used. Empirical analysis suggests that volatility of fund return is symmetrical against the news. Despite a formal market with full overlapping for the underlying assets, Saffron ETFs investors do not notice about the difference between ETFs' market prices and their Net Asset Value (NAV). The results of the feedback trading model show that there is no evidence of feedback trading in Saffron ETF. It seems that the market of Saffron ETF is efficient, which can be related to the specificity of the underlying assets and the investors of these ETFs.

Keywords

Exchange traded fund
Feedback trading
Saffron commodity ETF
Subjects

©2023 The author(s). This is an open access article distributed under Creative Commons Attribution 4.0 International License (CC BY 4.0)

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  • Receive Date 14 December 2022
  • Revise Date 01 July 2023
  • Accept Date 19 July 2023
  • First Publish Date 12 August 2023

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