Information from successive changes in gold and silver prices during phases of the business cycles

Lashgari, Malek

doi:10.1007/bf02920105

Cited by 6 publications

(3 citation statements)

References 28 publications

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“…A large number of papers have addressed the question of whether it is possible to forecast future prices of the white precious metals. An early study by Lashgari (1992) uses daily, weekly and monthly silver prices running from 1970 to 1989 in order to obtain optimal silver price forecasts using an exponential smoothing time series model. Using daily silver prices offers better results than weekly or monthly prices, but no trading profits could be realized.…”

Section: Forecastingmentioning

confidence: 99%

The financial economics of white precious metals — A survey

Vigne

Lucey

O’Connor

et al. 2017

International Review of Financial Analysis

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This article provides a review of the academic literature on the financial economics of silver, platinum and palladium. The survey covers the findings on a wide variety of topics relation to the White Precious Metals including Market Efficiency, Forecastability, Behavioral Findings, Diversification Benefits, Volatility Drivers, Macroeconomic Determinants, and their relationships with other assets.

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Section: Forecastingmentioning

confidence: 99%

The financial economics of white precious metals — A survey

Vigne

Lucey

O’Connor

et al. 2017

International Review of Financial Analysis

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“…By using daily, weekly, monthly data over the period of 1970–1989, Lashgari (1992) finds that returns from gold and silver are not predictable on the basis of historical information in short run, whereas long-run predictions are possible, and gold shows that there is high levels of dependence on the historical prices than silver. By using the rescaled range Hurst Technique, Cheung and Lai (1993) find long-memory behavior of returns from gold in the era of Post-Bretton woods and report that the long-memory behavior in gold returns is unstable and a minor evidence of long-memory is observed.…”

Section: Literaturementioning

confidence: 99%

Predictability of precious metals and adaptive market hypothesis

Shahid

Jehanzeb

Abbas

et al. 2019

IJOEM

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Purpose The purpose of this paper is to boost the existing literature on adaptive market hypothesis (AMH) as it first time links predictability of gold, silver and metal returns with AMH which permits the predictability of returns to vary over time. Design/methodology/approach To know whether commodity (gold, silver and metal) market is efficient or not, the commodity returns are observed by using appropriate linear time series tests (variance ratio test, runs test and auto-correlation test). To capture the varying efficiency of three commodities, the study employs subsamples of five years and all sub-samples are exposed to linear econometric tests to reveal how market efficiency (independency of returns) has behaved over time. Findings It is found that the commodity market (gold, silver and metal) is adaptive because fluctuation is observed in the market efficiency. Returns of all three commodities go under the periods of efficiency and inefficiency. Thus, AMH is the better description of behavior of commodity markets than traditional efficient market hypothesis. Research limitations/implications Choice of sub-sample in the study is the first limitation as the authors employ a sub-sample comprising five years. Second, commission, fee and taxes (transection cost) are ignored in the study. Finally, the results are reported on the basis of linear econometric tests. In future, longer time period sub-sample analysis is suggested by the study to explore the varying nature of the commodities. Moreover, rolling window analysis may be a more appropriate method to elucidate the idea of AMH in further research. It is further suggested that the method used in the study could be helpful and adapted to examine other commodities (metal and agriculture), bonds and equity markets around the world. Practical implications The study will provide a better investment model which can enable the investors to seek more returns in future. Moreover, this research can be extended to explore multiple issues like adaptive behavior of returns from crypto currencies, bonds, stocks and real estate investment trusts. Social implications As all the linear tests reveal that almost all the commodities show inefficient behavior in full sample period, it is clear that past prices widely would be helpful to predict the future prices at NYSE; furthermore, investors can use the time-varying information to reduce the risk of investment at NYSE. The study is helpful for individual investors as well as portfolio managers and brokers to forecast the prices on the bases of findings. Originality/value The paper identifies the need to study why behavior of commodity returns varies over time.

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“…When studying the daily, weekly and monthly gold and silver prices from January 1970 to December 1989, the information incorporated in the past prices of gold and silver does not allow for prices predictions in the short run: long-term predictions, however, are credible and compared with silver, gold demonstrates a greater magnitude of dependence (Lashgari, 1992). The long memory behavior of gold returns is unstable (Cheung and Lai, 1993).…”

Section: Literature Reviewmentioning

confidence: 99%

Market efficiency of gold exchange-traded funds in India

Nargunam

Anuradha

2017

Financ Innov

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Background: Gold exchange-traded funds, since introduction, are primarily aimed at tracking the price of physical gold in the financial market. This, a category of exchange-traded funds, whose units represent physical gold, is traded on exchanges like any other financial instrument. In the Indian financial market, gold exchange traded funds were introduced a decade ago to facilitate ordinary households' participation in the bullion market. They were also designed to assist in the price discovery mechanism of the bullion market. Presentation of the hypothesis: In this paper, it is attempted to check if one of the constituents of price discovery mechanism, informational efficiency, has been achieved in gold exchange-traded funds' market. Information efficiency becomes evident only when all available information is reflected in the market price of the instrument. Testing the hypothesis: Therefore, in order to assess the weak-form efficiency of the gold exchange-traded funds market, the daily returns of five gold exchangetraded funds traded on the Indian Stock Exchange over the period March 22, 2010, to August 28, 2015, were used. The non-parametric runs test, the parametric serial correlation test, and the augmented Dickey-Fuller unit root test are employed.

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Information from successive changes in gold and silver prices during phases of the business cycles

Cited by 6 publications

References 28 publications

The financial economics of white precious metals — A survey

The financial economics of white precious metals — A survey

Predictability of precious metals and adaptive market hypothesis

Market efficiency of gold exchange-traded funds in India

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