Do LBMA gold price follow random-walk?

Bhuyan, Biswabhusan; Patra, Subhamitra; Bhuian, Ranjan Kumar

doi:10.1007/s13404-021-00300-w

Cited by 2 publications

(1 citation statement)

References 26 publications

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“…Using the entropy method, Patra and Hiremath (2022) assessed the level of complexities in the stock returns. Similarly, Bhuyan et al (2021) employed the BDS test to assess the non-linear dependence in the return series. However, the extant studies failed to explore the scaling properties of cross-regional stock returns.…”

Section: Stock Market Liquiditymentioning

confidence: 99%

Is there a time-varying nexus between stock market liquidity and informational efficiency? – A cross-regional evidence

Patra,

Hiremath

2024

SEF

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Purpose This study aims to measure the degree of volatility comovement between stock market liquidity and informational efficiency across Asia, Europe, North-South America, Africa, and the Pacific Ocean over three decades. In particular, the authors analyze the extent of the time-varying nexus between different aspects of stock market liquidity and multifractal scaling properties of the stock return series across various regions and diversified market conditions. This study further investigates several factors altering the degree of dynamic conditional correlations (DCCs) between the efficiency and liquidity of the domestic stock markets. Design/methodology/approach The study measures five aspects of stock market liquidity – tightness, depth, breadth, immediacy, and adjusted immediacy. The authors evaluate the multifractal scaling properties of the stock return series to measure the level of stock market efficiency across the regions and diversified market conditions. The study uses the dynamic conditional correlation-multivariate generalized autoregressive conditional heteroscedasticity framework to quantify the degree of volatility comovement between liquidity and efficiency over the period. Findings The study finds the presence of stronger volatility comovement between inefficiency and illiquidity due to the price impact characteristics of the stock markets irrespective of different regions and diversified market conditions. The extent of time-variation increased following the shock periods, indicating the significant role of the financial crisis in increasing the volatility comovement between inefficiency and illiquidity. The highest degree of time-varying correlation is observed in the developed stock markets of Northwestern and Northern Europe compared to the regional and emerging counterparts. On the other hand, weak DCCs are observed in the emerging stock markets of Europe. Originality/value The output of the present study assists investors in identifying diversification opportunities across the regions. Additionally, the study has significant implications for market regulators, aiding in predicting future troughs and peaks. The prediction, in turn, helps formulate capital market development plans during dynamic economic situations.

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Section: Stock Market Liquiditymentioning

confidence: 99%