Efficient market in gold future market in high and low volatility

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Fadaienejad Mohamad Esmail; SALEHABADI ALI; Asadi Gholamhosein; Vaziri Mohamad Taghi; taati kashani Hasan

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Title

Efficient market in gold future market in high and low volatility

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Keywords

efficient marketQ1

future priceQ1

goldQ1

Abstract

One of the most important topics in financial markets in recent decades is the market efficiency. The efficient market hypothesis states that all available information is fully and immediately reflected in asset prices, therefore it is not possible to achieve systematic profits by price forecasting. The main purpose of this study is to evaluate the weak form of efficient market hypothesis for gold coin futures market in two settings of low volatility and high volatility of returns. In order to test the weak form market efficiency in prices of gold coin futures market, Markov-switching GARCH and Markov-switching autoregression methods have been applied to the period from 2008 to 2017. The results of the FIGARCH and FARMA models indicate the fact that the series have long term memories of risk and average returns. The results of the estimation for the Markov-switching GARCH model (MS-E-GARCH) and the Markov-switching autoregression (MS-AR) imply that both risk and average return of gold coin futures market is predictable, and as a result the gold coin futures market does not have the weak form of efficiency in both low and high volatility settings and systematic profits could be achieved in this mark

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APA: Copy

Fadaienejad, Mohamad Esmail, SALEHABADI, ALI, Asadi, Gholamhosein, Vaziri, Mohamad Taghi, & taati kashani, Hasan. (2018). Efficient market in gold future market in high and low volatility. INVESTMENT KNOWLEDGE, 7(27 ), 339-361. SID. https://sid.ir/paper/188106/en

Vancouver: Copy

Fadaienejad Mohamad Esmail, SALEHABADI ALI, Asadi Gholamhosein, Vaziri Mohamad Taghi, taati kashani Hasan. Efficient market in gold future market in high and low volatility. INVESTMENT KNOWLEDGE[Internet]. 2018;7(27 ):339-361. Available from: https://sid.ir/paper/188106/en

IEEE: Copy

Mohamad Esmail Fadaienejad, ALI SALEHABADI, Gholamhosein Asadi, Mohamad Taghi Vaziri, and Hasan taati kashani, “Efficient market in gold future market in high and low volatility,” INVESTMENT KNOWLEDGE, vol. 7, no. 27 , pp. 339–361, 2018, [Online]. Available: https://sid.ir/paper/188106/en

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