Are gold markets weak form efficient? Evidence from China, India and Russia

Bisharat Hussain Chang, Pervaiz Ahmed Memon, Niaz Ghumro and Mujeeb-ur- Rehman
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Bisharat Hussain Chang: Sukkur IBA University
Pervaiz Ahmed Memon: Sukkur IBA University
Niaz Ghumro: Sukkur IBA University
Mujeeb-ur- Rehman: Sukkur IBA University

Sukkur IBA Journal of Management and Business, 2018, vol. 5, issue 1, 52-65

Abstract: The main purpose of this study is to determine the weak form efficiency of the emerging gold markets such as China, India and Russia with the special focus on testing random walks (RWS) and martingale difference sequence (MDS) hypotheses during different periods of time. This study uses biased free statistical techniques such as runs test, parametric variance ratio tests and recent modified non-parametric variance ratio tests based on ranks and signs by using daily spot gold prices from January 12, 1993 to October 28, 2016. Findings of the study suggest that Russian gold market is weak form efficient throughout the period whereas other two markets are found weak form efficient during second sub period only that is, January 2000 to December 2005.

Keywords: variance ratios; Ranks and signs; emerginggold markets; Random walks; Martingale (search for similar items in EconPapers)
JEL-codes: G01 G14 G17 (search for similar items in EconPapers)
Date: 2018
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Persistent link: https://EconPapers.repec.org/RePEc:ris:ibajmb:0044

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