An information theory perspective on the informational efficiency of gold price
Aurelio Fernandez Bariviera (),
M. Teresa Sorrosal-Forradellas and
Osvaldo A. Rosso
The North American Journal of Economics and Finance, 2019, vol. 50, issue C
This paper studies the informational efficiency of the gold market, and its variability due to economic distress situations. The period under study goes from 1968 until 2017. We use quantifiers derived from Information Theory in order to analyze the stochastic dynamics of gold price. In particular, we use permutation entropy, permutation statistical complexity and Fisher Information Measure, to assess the time varying dynamics of price time series. We find that the stochastic regime in the time series exhibits three distinct dynamics, roughly divided in years 1968–1981, 1981–2003, 2003–2017. Additionally, informational efficiency is affected by major economic and political events. Finally, we detect a strong persistence in volatility.
Keywords: Gold; Permutation entropy; Statistical complexity; Fisher Information Measure; Economic crisis (search for similar items in EconPapers)
JEL-codes: G01 G14 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:50:y:2019:i:c:s1062940818304534
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