Market Efficiency Perspective of Precious Metals: Evidence from Developed and Emerging Economies
Rana, Hafiz Muhammad Usman and O'Connor, Fergal and Yerushalmi, Erez and Kim, H. Jae (2024) Market Efficiency Perspective of Precious Metals: Evidence from Developed and Emerging Economies. Working Paper 28. Centre for Accountancy Finance and Economics (CAFE), Birmingham City Business School, Birmingham City University. (Submitted)
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CAFE WP 28 - Rana et al - Market Efficiency Perspective of Precious Metals_Evidence from Developed and Emerging Economies.pdf - Submitted Version Download (2MB) |
Abstract
This study examines the weak-form market efficiency of international precious metals markets (Gold, Silver, Platinum, and Palladium) using data from 9 domestic markets in their local currencies - rather than a US Dollar price as in most previous studies. We do this by using the Automatic Portmanteau test, Automatic Variance Ratio test, Autoboot Variance ratio test and Generalized Spectral Shape test to look at their evolving efficiency over time.
The findings of this study suggest that market efficiency for four precious metals varies over time across both developed and emerging markets. The variation in market efficiency could be attributable to cyclical developments due to technology and the economic cycle. That they do not tend to efficiency together indicates that these markets are fragmented and not as interconnected as might have been assumed due to a variety of factors such as local regulations, market complexity, and differences in the market structure in each country.
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