 Precious metals shine? A market efficiency perspectiveAmelie Charles, Olivier Darné and Jae Kim Working Papers from HAL Abstract: Precious metals (gold, silver, and platinum) have become an important part of investment portfolios for individuals as well as for institutions. A key question is whether investors should actively trade these metals to time the market or whether they should take a buy-and-hold strategy. This paper examines the weak-form efficiency of precious metals markets with this question in mind, using the automatic portmanteau and variance ratio tests. It is found that return predictability of these markets has been changing over time, depending on prevailing economic and political conditions. The return predictability of gold and silver markets have been showing a downward trend, implying that the degree of the weak-form efficiency of these markets have been gradually improving. In particular, the gold market has been highly efficient recently, showing the highest degree of market efficiency among the three precious metals markets. The overall evidence suggest an buy-and-hold strategy, but profit opportunities may arise from time to time depending on prevailing economic or political conditions. Keywords: Trading Strategy; Adaptive markets hypothesis; martingale difference hypothesis; Market Efficiency; Trading Strategy. (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:hal:wpaper:hal-01010516 Access Statistics for this paper More papers in Working Papers from HAL |
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