Počet záznamů: 1
Gold, currencies and market efficiency
- 1.
SYSNO ASEP 0507284 Druh ASEP J - Článek v odborném periodiku Zařazení RIV J - Článek v odborném periodiku Poddruh J Článek ve WOS Název Gold, currencies and market efficiency Tvůrce(i) Krištoufek, Ladislav (UTIA-B) RID, ORCID
Vošvrda, Miloslav (UTIA-B) RIDCelkový počet autorů 2 Zdroj.dok. Physica. A : Statistical Mechanics and its Applications. - : Elsevier - ISSN 0378-4371
Roč. 449, č. 1 (2016), s. 27-34Poč.str. 8 s. Forma vydání Tištěná - P Jazyk dok. eng - angličtina Země vyd. NL - Nizozemsko Klíč. slova Efficient market hypothesis ; Gold ; Currencies ; Fractal dimension ; Entropy ; Long-term memory Vědní obor RIV AH - Ekonomie Obor OECD Finance CEP GBP402/12/G097 GA ČR - Grantová agentura ČR Způsob publikování Omezený přístup Institucionální podpora UTIA-B - RVO:67985556 UT WOS 000370898000003 EID SCOPUS 84961322262 DOI 10.1016/j.physa.2015.12.075 Anotace 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. Pracoviště Ústav teorie informace a automatizace Kontakt Markéta Votavová, votavova@utia.cas.cz, Tel.: 266 052 201. Rok sběru 2020 Elektronická adresa https://www.sciencedirect.com/science/article/pii/S0378437115011036
Počet záznamů: 1