Kristoufek, L. & Vosvrda, M.: Gold, currencies and market efficiency
| Author(s): | prof. PhDr. Ladislav Krištoufek Ph.D., prof. Ing. Miloslav Vošvrda CSc., |
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| Type: | Articles in journals with impact factor |
| Year: | 2016 |
| Number: | 0 |
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| Published in: | Physica A: Statistical Mechanics and Its Applications 449, pp. 27-34 arXiv PDF |
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| Keywords: | efficient market hypothesis, gold, currencies, fractal dimension, entropy, long-term memory |
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| Grants: | DYME – Dynamic Models in Economics |
| Abstract: | 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. |
