Title :
Information Transmitting Efficiency in China Gold Spot Market: A Random Walk Test with Wild and Bootstrap Variance Ratio Method
Author :
Xiaozhou, Li ; Yunfei, Wang
Author_Institution :
Shanghai Inst. of Foreign Trade, Shanghai, China
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.
Keywords :
pricing; random processes; statistical analysis; stock markets; China gold spot market; China gold spot price; efficiency market hypothesis; information transmission efficiency; random walk test; wild bootstrap variance ratio method; Approximation methods; Finance; Gaussian distribution; Gold; Stock markets; Testing; EMH; Information Efficiency; Variance Ration; Wald Bootstrap;
Conference_Titel :
Business Computing and Global Informatization (BCGIN), 2011 International Conference on
Conference_Location :
Shanghai
Print_ISBN :
978-1-4577-0788-9
Electronic_ISBN :
978-0-7695-4464-9
DOI :
10.1109/BCGIn.2011.71
