Ntim, CG, English, J, Nwachukwu, J and Wang, Y ORCID: https://orcid.org/0000-0001-5438-4255, 2015. On the efficiency of the global gold markets. International Review of Financial Analysis, 41, pp. 218-236. ISSN 1057-5219
Preview |
Text
14908_Wang.pdf - Published version Download (533kB) | Preview |
Abstract
This paper examines the weak-form efficiency of the global gold markets with specific focus on the random walks (RWS) and martingale difference sequence (MDS) hypotheses, and consequently, investigates the extent to which predictability or non-predictability of global daily spot gold price return series behaviour can be explained by volatilities in macroeconomic fundamentals. We apply traditional parametric variance-ratio tests and their recent non-parametric modifications based on ranks and signs to one of the largest datasets on world gold markets to-date, consisting of daily spot price series of 28 emerging and developed gold markets from January 1968 to August 2014. First, our results show that gold markets in Egypt, Indonesia, Mexico, Nepal, Pakistan, Russia, Saudi Arabia, UAE and Vietnam are not weak-form efficient neither from the perspective of the strict RWS nor in the relaxed MDS sense. By contrast, RWS and MDS hypotheses cannot be rejected for gold markets in Hong Kong, Japan, Switzerland, UK and US at the conventional rejection levels. Results for gold markets in Australia, Bahrain, Brazil, Canada, China, Germany, India, Malaysia, Singapore, South Africa, South Korea, Taiwan, Thailand and Turkey are, however, mixed. Second, our findings show that greater changes in economic fundamentals are associated with lower levels of rejecting the RWS and MDS hypotheses. Third, our evidence shows that the probability of rejecting the weak-form efficiency is higher in emerging gold markets than developed ones. Fourth, our results show that the RWS hypothesis is rejected more frequently than its MDS alternative, and thereby justifying our decision to conduct an explicit test of the RWS and MDS hypotheses. Our results are robust to estimating subsamples, overlapping rolling windows and endogeneity corrected models, as well as controlling for a number of country-specific institutional and trading factors. Our findings have crucial implications for global portfolio managers, investors, poly-makers and regulatory authorities.
Item Type: | Journal article |
---|---|
Publication Title: | International Review of Financial Analysis |
Creators: | Ntim, C.G., English, J., Nwachukwu, J. and Wang, Y. |
Publisher: | Elsevier |
Date: | October 2015 |
Volume: | 41 |
ISSN: | 1057-5219 |
Identifiers: | Number Type 10.1016/j.irfa.2015.03.013 DOI S1057521915000642 Publisher Item Identifier |
Divisions: | Schools > Nottingham Business School |
Record created by: | Jonathan Gallacher |
Date Added: | 25 Sep 2019 14:05 |
Last Modified: | 25 Sep 2019 14:05 |
URI: | https://irep.ntu.ac.uk/id/eprint/37777 |
Actions (login required)
Edit View |
Statistics
Views
Views per month over past year
Downloads
Downloads per month over past year