Gold, currencies and market efficiency

0507284 - ÚTIA 2020 RIV NL eng J - Článek v odborném periodiku
Krištoufek, Ladislav - Vošvrda, Miloslav
Gold, currencies and market efficiency.
Physica. A : Statistical Mechanics and its Applications. Roč. 449, č. 1 (2016), s. 27-34. ISSN 0378-4371. E-ISSN 1873-2119
Grant CEP: GA ČR(CZ) GBP402/12/G097
GRANT EU: European Commission(XE) 612955 - FINMAP
Institucionální podpora: RVO:67985556
Klíčová slova: Efficient market hypothesis * Gold * Currencies * Fractal dimension * Entropy * Long-term memory
Obor OECD: Finance
Impakt faktor: 2.243, rok: 2016
Způsob publikování: Omezený přístup
http://library.utia.cas.cz/separaty/2019/E/kristoufek-0507284.pdf https://www.sciencedirect.com/science/article/pii/S0378437115011036

Gold and currency markets form a unique pair with specific interactions and dynamics. We focus on the efficiency ranking of gold markets with respect to the currency of purchase. By utilizing the Efficiency Index (EI) based on fractal dimension, approximate entropy and long-term memory on a wide portfolio of 142 gold price series for different currencies, we construct the efficiency ranking based on the extended EI methodology we provide. Rather unexpected results are uncovered as the gold prices in major currencies lay among the least efficient ones whereas very minor currencies are among the most efficient ones. We argue that such counterintuitive results can be partly attributed to a unique period of examination (2011–2014) characteristic by quantitative easing and rather unorthodox monetary policies together with the investigated illegal collusion of major foreign exchange market participants, as well as some other factors discussed in some detail.
Trvalý link: http://hdl.handle.net/11104/0298750