Will precious metals shine? A market efficiency perspective

被引：44

作者：

Charles, Amelie ^{[1
]}

Darne, Olivier ^{[2
]}

Kim, Jae H. ^{[3
]}

机构：

[1] Audencia Nantes, Sch Management, Nantes, France

[2] Univ Nantes, LEMNA, F-44035 Nantes, France

[3] La Trobe Univ, Dept Econ & Finance, Bundoora, Vic 3086, Australia

来源：

INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS | 2015年 / 41卷

关键词：

Adaptive markets hypothesis; Martingale difference hypothesis; Market efficiency; Return predictability; RANDOM-WALK HYPOTHESIS; SAFE HAVEN; GOLD; PRICE; RETURN; BONDS; TESTS; HEDGE;

D O I：

10.1016/j.irfa.2015.01.018

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Precious metals (gold, silver, and platinum) have become an important part of investment portfolios for individuals as well as for institutions. This paper examines the weak-form efficiency of precious metal markets, using the automatic portmanteau and variance ratio tests. It is found that return predictability of these markets has been changing over time, depending on the prevailing economic and political conditions. The return predictability of gold and silver markets has been showing downward trends, implying that the degree of the weak-form efficiency of these markets has been gradually improving. In particular, the gold market has been highly efficient recently, showing the highest degree of market efficiency among the three precious metal markets. (C) 2015 Elsevier Inc. All rights reserved.

引用

页码：284 / 291

页数：8

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