Gold, currencies and market efficiency
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985556%3A_____%2F16%3A00507284" target="_blank" >RIV/67985556:_____/16:00507284 - isvavai.cz</a>
Alternative codes found
RIV/67985556:_____/16:00455876
Result on the web
<a href="https://www.sciencedirect.com/science/article/pii/S0378437115011036" target="_blank" >https://www.sciencedirect.com/science/article/pii/S0378437115011036</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1016/j.physa.2015.12.075" target="_blank" >10.1016/j.physa.2015.12.075</a>
Alternative languages
Result language
angličtina
Original language name
Gold, currencies and market efficiency
Original language description
Gold and currency markets form a unique pair with specific interactions and dynamics. We focus on the efficiency ranking of gold markets with respect to the currency of purchase. By utilizing the Efficiency Index (EI) based on fractal dimension, approximate entropy and long-term memory on a wide portfolio of 142 gold price series for different currencies, we construct the efficiency ranking based on the extended EI methodology we provide. Rather unexpected results are uncovered as the gold prices in major currencies lay among the least efficient ones whereas very minor currencies are among the most efficient ones. We argue that such counterintuitive results can be partly attributed to a unique period of examination (2011–2014) characteristic by quantitative easing and rather unorthodox monetary policies together with the investigated illegal collusion of major foreign exchange market participants, as well as some other factors discussed in some detail.
Czech name
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Czech description
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Classification
Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
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OECD FORD branch
50206 - Finance
Result continuities
Project
—
Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace
Others
Publication year
2016
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Physica. A : Statistical Mechanics and its Applications
ISSN
0378-4371
e-ISSN
—
Volume of the periodical
449
Issue of the periodical within the volume
1
Country of publishing house
NL - THE KINGDOM OF THE NETHERLANDS
Number of pages
8
Pages from-to
27-34
UT code for WoS article
000370898000003
EID of the result in the Scopus database
2-s2.0-84961322262