{"title":"Do LBMA gold price follow random-walk?","authors":"Biswabhusan Bhuyan, Subhamitra Patra, Ranjan Kumar Bhuian","doi":"10.1007/s13404-021-00300-w","DOIUrl":null,"url":null,"abstract":"<div><p>The present study attempted to analyse the random-walk characteristics of the gold spot price of the London Bullion Market Association (LBMA) by using several linear and nonlinear models. The research collects two decades of daily data from 3rd February 2000 to 2nd October 2020. Econometric tests such as serial correlation test, unit-root tests, multiple variance ratio (MVR), and the BDS test were applied to examine the linear and nonlinear dependence of return series. Further, we employed all the tests from ARCH family to examine the volatility clustering of the gold return series. The results of serial correlation and the unit-root test suggest that the gold return is stationary, therefore does not follow the random-walk benchmark, and hence the gold market is inefficient. EGARCH results indicate that the positive news has a more significant impact on the gold return than the negative news. The findings have important implications for the efficient portfolio investments, and better hedging opportunities for the investors.</p></div>","PeriodicalId":581,"journal":{"name":"Gold Bulletin","volume":"54 2","pages":"151 - 159"},"PeriodicalIF":2.1000,"publicationDate":"2021-09-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"1","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Gold Bulletin","FirstCategoryId":"5","ListUrlMain":"https://link.springer.com/article/10.1007/s13404-021-00300-w","RegionNum":4,"RegionCategory":"工程技术","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"CHEMISTRY, INORGANIC & NUCLEAR","Score":null,"Total":0}
引用次数: 1
Abstract
The present study attempted to analyse the random-walk characteristics of the gold spot price of the London Bullion Market Association (LBMA) by using several linear and nonlinear models. The research collects two decades of daily data from 3rd February 2000 to 2nd October 2020. Econometric tests such as serial correlation test, unit-root tests, multiple variance ratio (MVR), and the BDS test were applied to examine the linear and nonlinear dependence of return series. Further, we employed all the tests from ARCH family to examine the volatility clustering of the gold return series. The results of serial correlation and the unit-root test suggest that the gold return is stationary, therefore does not follow the random-walk benchmark, and hence the gold market is inefficient. EGARCH results indicate that the positive news has a more significant impact on the gold return than the negative news. The findings have important implications for the efficient portfolio investments, and better hedging opportunities for the investors.
期刊介绍：
Gold Bulletin is the premier international peer reviewed journal on the latest science, technology and applications of gold. It includes papers on the latest research advances, state-of-the-art reviews, conference reports, book reviews and highlights of patents and scientific literature. Gold Bulletin does not publish manuscripts covering the snthesis of Gold nanoparticles in the presence of plant extracts or other nature-derived extracts. Gold Bulletin has been published over 40 years as a multidisciplinary journal read by chemists, physicists, engineers, metallurgists, materials scientists, biotechnologists, surface scientists, and nanotechnologists amongst others, both within industry and academia. Gold Bulletin is published in Association with the World Gold Council.
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