The Macroeconomic Determinants and Market Efficiency of Precious Metals: An Empirical Evidence of International Markets
Rana, Hafiz Muhammad Usman (2023) The Macroeconomic Determinants and Market Efficiency of Precious Metals: An Empirical Evidence of International Markets. Doctoral thesis, Birmingham City University.
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Hafiz Muhammad Usman Rana PhD Thesis published_Final version_Submitted May 2022_Final Award May 2023.pdf - Accepted Version Download (4MB) |
Abstract
This empirical study extends market efficiency application to precious metals. Literature suggests that prices of four precious metals (i.e., Gold, Silver, Platinum, and Palladium) fluctuate due to instability of macroeconomic factors globally. Moreover, the impact of macroeconomic factors causes uncertainty in the prices of metals which affects the investors’ return. To test the robustness of the precious metals price efficiency, this thesis is divided into three separate empirical studies that measure market efficiency and analyse the impact of macroeconomic factors on pricing in developed and emerging economies.
Chapter 2 (Paper 1) examines weak-form efficiency in the precious metal market using the Automatic Portmanteau, Automatic Variance Ratio, Autoboot Variance Ratio, and Generalized Spectral Shape tests. The findings demonstrate that market efficiency for four precious metals in developed and emerging economies changes over time. Market efficiency may vary due to technical changes, economic booms and busts. The other reason could be that markets are fragmented due to restrictions, lunar cycles, market complexity, and other challenges.
Chapter 3 (Paper 2) investigates the relationship between macroeconomic
factors and precious metals prices across developed and emerging markets from 1979 to 2020 using multiple time series techniques – Johansen Cointegration, VECM, VAR, ARDL model, and Wald tests. The findings revealed the long-run and short -run relationships between precious metals prices and macroeconomic factors vary depending on the country of the study. In the long run, cointegrating relationships are unstable and differ significantly between developed and emerging economies. The causality test results between four precious metals and major macroeconomic indicators vary depending on the country and the sample length of the frequency distributions used.
Chapter 4 (Paper 3) examined how macroeconomic factors collectively impact gold, silver, and platinum prices in developed and emerging economies using the panel data unit root test and dynamic panel data model. The findings demonstrate that macroeconomic factors affect precious metal prices in developed and emerging economies.
| Item Type: | Thesis (Doctoral) | ||||||
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| Uncontrolled Keywords: | Adaptive markets hypothesis, Martingale difference hypothesis, Market Efficiency, Precious Metals prices, Long-run Equilibrium, Inflation, Financial | ||||||
| Subjects: | CAH17 - business and management > CAH17-01 - business and management > CAH17-01-07 - finance | ||||||
| Divisions: | Doctoral Research College > Doctoral Theses Collection Faculty of Business, Law and Social Sciences > Birmingham City Business School > Centre for Applied Finance and Economics |
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| Depositing User: | Jaycie Carter | ||||||
| Date Deposited: | 08 Jun 2023 12:59 | ||||||
| Last Modified: | 08 Jun 2023 12:59 | ||||||
| URI: | https://www.open-access.bcu.ac.uk/id/eprint/14444 |
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