{"title":"中国黄金现货市场的信息传递效率:基于随机行走和自举方差比法的检验","authors":"Liu Xiaozhou, W. Yunfei","doi":"10.2139/ssrn.2265859","DOIUrl":null,"url":null,"abstract":"China provides an excellent empirical case study on the information transmitting efficiency in the capital market. Our paper extend the existing investigation based on much more new data and test the efficiency of information transmitting with Individual, Sub-sampling and Wild bootstrap Variance Ratio method. The empirical results show that gold prices reflect all the past information efficiently and no one can get abnormal return continuously. The China gold spot price followed Random Walk and the gold spot market is a weak-form efficiency market.","PeriodicalId":127523,"journal":{"name":"2011 International Conference on Business Computing and Global Informatization","volume":"2 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2011-07-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"3","resultStr":"{\"title\":\"Information Transmitting Efficiency in China Gold Spot Market: A Random Walk Test with Wild and Bootstrap Variance Ratio Method\",\"authors\":\"Liu Xiaozhou, W. Yunfei\",\"doi\":\"10.2139/ssrn.2265859\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"China provides an excellent empirical case study on the information transmitting efficiency in the capital market. Our paper extend the existing investigation based on much more new data and test the efficiency of information transmitting with Individual, Sub-sampling and Wild bootstrap Variance Ratio method. The empirical results show that gold prices reflect all the past information efficiently and no one can get abnormal return continuously. The China gold spot price followed Random Walk and the gold spot market is a weak-form efficiency market.\",\"PeriodicalId\":127523,\"journal\":{\"name\":\"2011 International Conference on Business Computing and Global Informatization\",\"volume\":\"2 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2011-07-29\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"3\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"2011 International Conference on Business Computing and Global Informatization\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.2139/ssrn.2265859\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"2011 International Conference on Business Computing and Global Informatization","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.2265859","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
Information Transmitting Efficiency in China Gold Spot Market: A Random Walk Test with Wild and Bootstrap Variance Ratio Method
China provides an excellent empirical case study on the information transmitting efficiency in the capital market. Our paper extend the existing investigation based on much more new data and test the efficiency of information transmitting with Individual, Sub-sampling and Wild bootstrap Variance Ratio method. The empirical results show that gold prices reflect all the past information efficiently and no one can get abnormal return continuously. The China gold spot price followed Random Walk and the gold spot market is a weak-form efficiency market.
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