Comparison of Efficiency in Cash and Future Market of Gold Coin

Objective: According to the efficient market hypothesis, market efficiency refers to the condition in which prices in the markets are adjusted immediately to the new information. The speed and quality of response to new information determine the level of market efficiency. The lower speed and qualit...

Descripción completa

Guardado en:

Detalles Bibliográficos
Autores principales:	Mahdi Eskandari, Ali Saeedi, Mirfeiz Fallah Shams
Formato:	article
Lenguaje:	FA
Publicado:	University of Tehran 2021
Materias:	market efficiency random walk martingale difference sequence gold futures market gold spot market Finance HG1-9999
Acceso en línea:	https://doaj.org/article/d67af3027f6242f99e46f4a444d0bf4d
Etiquetas:	Agregar Etiqueta Sin Etiquetas, Sea el primero en etiquetar este registro!

id	oai:doaj.org-article:d67af3027f6242f99e46f4a444d0bf4d
record_format	dspace
spelling	oai:doaj.org-article:d67af3027f6242f99e46f4a444d0bf4d2021-11-14T06:00:55ZComparison of Efficiency in Cash and Future Market of Gold Coin1024-81532423-537710.22059/frj.2020.300849.1007012https://doaj.org/article/d67af3027f6242f99e46f4a444d0bf4d2021-08-01T00:00:00Zhttps://jfr.ut.ac.ir/article_83582_e345ca84f911dc93a3368b4a4d3cca1b.pdfhttps://doaj.org/toc/1024-8153https://doaj.org/toc/2423-5377Objective: According to the efficient market hypothesis, market efficiency refers to the condition in which prices in the markets are adjusted immediately to the new information. The speed and quality of response to new information determine the level of market efficiency. The lower speed and quality will result in lower efficiency. The weak level of market efficiency is a condition in which the price of an asset is predictable with publicly available information. In another word, prices are following a predictable pattern and not moving based on the random walk hypothesis. This study compares and evaluates a weak level of efficiency in future and spot market of gold coins. Methods: This study examines gold coin transactions and the efficiency of future contracts in various futures and cash markets. By using the daily return of gold coins from 2008 to 2018 and R software, the paper examines the weak form of efficiency through random walks and martingale difference sequence hypotheses. Results: Using 10 year period data from 2008 to 2018 demonstrates inefficiency in all markets. However, compared to the other markets, the cash coin market has a relatively higher level of market efficiency. We found that there is an indirect relationship between the term of the contract and its efficiency. The weak form efficiency of the contracts is lower in the future contracts with a longer term to maturity. The probability of rejecting the weak form of efficiency is higher in futures markets. Conclusion: Considering a higher level of weak efficiency in the cash market (in comparison with the future markets) and the indirect relationship between the term of the contract and the level of efficiency, investors are encouraged to focus on the gold coin cash market. Price changes in the cash market are less predictable than in other markets. As a result, this market is recommended for passive investors who buy and hold the asset.Mahdi EskandariAli SaeediMirfeiz Fallah ShamsUniversity of Tehranarticlemarket efficiencyrandom walkmartingale difference sequencegold futures marketgold spot marketFinanceHG1-9999FAتحقیقات مالی, Vol 23, Iss 2, Pp 196-221 (2021)
institution	DOAJ
collection	DOAJ
language	FA
topic	market efficiency random walk martingale difference sequence gold futures market gold spot market Finance HG1-9999
spellingShingle	market efficiency random walk martingale difference sequence gold futures market gold spot market Finance HG1-9999 Mahdi Eskandari Ali Saeedi Mirfeiz Fallah Shams Comparison of Efficiency in Cash and Future Market of Gold Coin
description	Objective: According to the efficient market hypothesis, market efficiency refers to the condition in which prices in the markets are adjusted immediately to the new information. The speed and quality of response to new information determine the level of market efficiency. The lower speed and quality will result in lower efficiency. The weak level of market efficiency is a condition in which the price of an asset is predictable with publicly available information. In another word, prices are following a predictable pattern and not moving based on the random walk hypothesis. This study compares and evaluates a weak level of efficiency in future and spot market of gold coins. Methods: This study examines gold coin transactions and the efficiency of future contracts in various futures and cash markets. By using the daily return of gold coins from 2008 to 2018 and R software, the paper examines the weak form of efficiency through random walks and martingale difference sequence hypotheses. Results: Using 10 year period data from 2008 to 2018 demonstrates inefficiency in all markets. However, compared to the other markets, the cash coin market has a relatively higher level of market efficiency. We found that there is an indirect relationship between the term of the contract and its efficiency. The weak form efficiency of the contracts is lower in the future contracts with a longer term to maturity. The probability of rejecting the weak form of efficiency is higher in futures markets. Conclusion: Considering a higher level of weak efficiency in the cash market (in comparison with the future markets) and the indirect relationship between the term of the contract and the level of efficiency, investors are encouraged to focus on the gold coin cash market. Price changes in the cash market are less predictable than in other markets. As a result, this market is recommended for passive investors who buy and hold the asset.
format	article
author	Mahdi Eskandari Ali Saeedi Mirfeiz Fallah Shams
author_facet	Mahdi Eskandari Ali Saeedi Mirfeiz Fallah Shams
author_sort	Mahdi Eskandari
title	Comparison of Efficiency in Cash and Future Market of Gold Coin
title_short	Comparison of Efficiency in Cash and Future Market of Gold Coin
title_full	Comparison of Efficiency in Cash and Future Market of Gold Coin
title_fullStr	Comparison of Efficiency in Cash and Future Market of Gold Coin
title_full_unstemmed	Comparison of Efficiency in Cash and Future Market of Gold Coin
title_sort	comparison of efficiency in cash and future market of gold coin
publisher	University of Tehran
publishDate	2021
url	https://doaj.org/article/d67af3027f6242f99e46f4a444d0bf4d
work_keys_str_mv	AT mahdieskandari comparisonofefficiencyincashandfuturemarketofgoldcoin AT alisaeedi comparisonofefficiencyincashandfuturemarketofgoldcoin AT mirfeizfallahshams comparisonofefficiencyincashandfuturemarketofgoldcoin
_version_	1718429927654555648

Comparison of Efficiency in Cash and Future Market of Gold Coin

Ejemplares similares