Rui Dias – School of Business and Administration, Polytechnic Institute of Setúbal, Portugal and CEFAGE-UE, IIFA,
University of Évora, Portugal
Paulo Alexandre – School of Business and Administration, Polytechnic Institute of Setúbal, Portugal
Cristina Vasco – IEFP, Portugal
Paula Heliodoro – School of Business and Administration, Polytechnic Institute of Setúbal, Portugal
Hortense Santos – School of Business and Administration, Polytechnic Institute of Setúbal, Portugal
DOI: https://doi.org/10.31410/EMAN.2021.55
5th International Scientific Conference – EMAN 2021 – Economics and Management: How to Cope With Disrupted Times, Online/Virtual, March 18, 2021, CONFERENCE PROCEEDINGS published by: Association of Economists and Managers of the Balkans, Belgrade, Serbia; ISBN 978-86-80194-43-1, ISSN 2683-4510
Abstract:
This paper aims to analyze the efficiency, in its weak form, in the markets of commodities,
Platinum (London Platinum Free Market $/Troy oz), GOLD (Gold Bullion LBM $/t oz DELAY), SILVER
(Silver – Zurich SW. francs/kg) and the stock markets of KOREA, CHINA, JAPAN, PHILIPPINES, INDONESIA,
from January 1, 2019 to October 20, 2020. To perform this analysis, different approaches
were undertaken to assess whether: (i) the Gold, Platinum, Silver markets have more robust levels of
efficiency when compared to Asian stock markets? The results of the variance test indicate that the random
walk hypothesis is rejected in the Gold, Platinum and Silver markets, as well as in the Asian stock
markets, with no differences between markets. These findings show that profitability is auto-correlated
over time, with a reversal of the mean, because the values of variance ratios are lower than the unit, i.e.,
price fluctuations are not i.i.d. The results have significant implications for investors, as market inefficiency
can affect the domestic and international flows of an economy. In conclusion, the hypothesis of
market efficiency, in weak form, may be questionable, since the prediction of the movement of a given
market can be improved if the out-of-the-current movements of the other markets are considered, thus
enabling the occurrence of arbitrage operations. These findings also make room for regulators in these
markets to take steps to ensure better information between these markets and international markets.
Keywords:
Commodities, Asia, Efficiency, Portfolio diversification.
REFERENCES
Aggarwal, D. (2018). Random walk model and asymmetric effect in Korean composite
stock price index. Afro-Asian J. of Finance and Accounting. https://doi.org/10.1504/aajfa.
2018.10009906
Alexandre, P., Dias, R., & Heliodoro, P. (2020). European Financial Market Integration: A Closer
Look at Government Bonds in Eurozone Countries. Balkans Journal of Emerging Trends
in Social Sciences. https://doi.org/10.31410/balkans.jetss.2020.3.1.78-86
Alexandre, P., Heliodoro, P., & Dias, R. (2019). The Contagion Effect in Europe: A DCC GARH
Approach. In 5th LIMEN Conference Proceedings (part of LIMEN conference collection).
https://doi.org/10.31410/limen.2019.73
Dias, Rui; Oak, L. (2020). Hedges And Safe Havens: An Examination of Stocks, Gold And Silver
in Latin America ‘ S Stock Market, 1114–1132.
Dias, R., Alexandre, P., & Heliodoro, P. (2020). Contagion in the LAC Financial Markets: The
Impact of Stock Crises of 2008 and 2010. Littera Scripta. https://doi.org/10.36708/littera_
scripta2020/1/3
Dias, R., da Silva, J. V., & Dionysus, A. (2019). Financial markets of the LAC region: Does
the crisis influence the financial integration? International Review of Financial Analysis,
63(January), 160–173. https://doi.org/10.1016/j.irfa.2019.02.008
Dias, R., Heliodoro, P., & Alexandre, P. (2019). Risk Transmission Among Stock Markets in
LAC Region: Financial Crises Impact. In 5th LIMEN Selected Papers (part of LIMEN
conference collection). https://doi.org/10.31410/limen.s.p.2019.91
Dias, R., Heliodoro, P., & Alexandre, P. (2020). Efficiency of Asean-5 Markets: An Detrended
Fluctuation Analysis. Mednarodno Inovativno Poslovanje = Journal of Innovative Business
and Management. https://doi.org/10.32015/jibm.2020.12.2.13-19
Dias, R., Heliodoro, P., Alexandre, P., & Vasco, C. (2020a). Financial Market Integration of
ASEAN-5 With China: An Econophysics Approach. In 4th EMAN Conference Proceedings
(part of EMAN conference collection). https://doi.org/10.31410/eman.2020.17
Dias, R., Heliodoro, P., Alexandre, P., & Vasco, C. (2020b). The Shocks Between Oil Market
To the Bric Stock Markets: A Generalized VAR Approach. In 4th EMAN Conference
Proceedings (part of EMAN conference collection). https://doi.org/10.31410/eman.2020.25
Dias, R., Heliodoro, P., Teixeira, N., & Godinho, T. (2020). Testing the Weak Form of Efficient
Market Hypothesis: Empirical Evidence from Equity Markets. International Journal of
Accounting, Finance and Risk Management. https://doi.org/10.11648/j.ijafrm.20200501.14
Dias, R., Pardal, P., Teixeira, N., & Machová, V. (2020). Financial Market Integration of ASEAN-
5 with China. Littera Scripta. https://doi.org/10.36708/littera_scripta2020/1/4
Dias, R., Teixeira, N., Machova, V., Sparrow, P., Horak, J., & Vochozka, M. (2020). Random
walks and market efficiency tests: evidence on US, Chinese and European capital markets
within the context of the global Covid-19 pandemic, 11(4). https://doi.org/10.24136/
oc.2020.024
El Khamlichi, A., Sarkar, K., Arouri, M., & Teulon, F. (2014). Are Islamic equity indices more
efficient than their conventional counterparts? Evidence from major global index families.
Journal of Applied Business Research. https://doi.org/10.19030/jabr.v30i4.8660
Hadri, K. (2000). Testing for stationarity in heterogeneous panel data. The Econometrics Journal.
https://doi.org/10.1111/1368-423x.00043
Hamid, K., Suleman, M. T., Ali Shah, S. Z., & Imdad Akash, R. S. (2017). Testing the Weak
Form of Efficient Market Hypothesis: Empirical Evidence from Asia-Pacific Markets.
SSRN Electronic Journal. https://doi.org/10.2139/ssrn.2912908
Heliodoro, P., Dias, R., & Alexandre, P. (2020). Financial Contagion Between the US And
Emerging Markets: COVID-19 Pandemic Case. In 4th EMAN Selected Papers (part of
EMAN conference collection). https://doi.org/10.31410/eman.s.p.2020.1
Heliodoro, P., Dias, R., Alexandre, P., & Vasco, C. (2020). Integration in BRIC Stock Markets:
An Empirical Analysis. In 4th EMAN Selected Papers (part of EMAN conference collection).
https://doi.org/10.31410/eman.s.p.2020.33
Jain, E. (2020). Empirically testing weak form efficiency of Indian stock market: Pre and post
demonetization. International Journal of Scientific and Technology Research.
Jr., A.C.C., & Camba, A. L. (2020). The Existence of Random Walk in the Philippine Stock
Market: Evidence from Unit Root and Variance-Ratio Tests. The Journal of Asian Finance,
Economics and Business. https://doi.org/10.13106/jafeb.2020.vol7.no10.523
Karasiński, J. (2020). The Changing Efficiency of the European Stock Markets. Annales Universitatis
Mariae Curie-Skłodowska, Sectio H – Economics.
https://doi.org/10.17951/h.2020.54.1.41-51
Levin, A., Lin, C. F., & Chu, C. S. J. (2002). Unit root tests in panel data: Asymptotic and finite-
sample properties. Journal of Econometrics.
https://doi.org/10.1016/S0304-4076(01)00098-7
Lo, A. W., & MacKinlay, A.C. (1988). Stock Market Prices Do Not Follow Random Walks: Evidence
from a Simple Specification Test. Review of Financial Studies.
https://doi.org/10.1093/rfs/1.1.41
Malafeyev, O., Awasthi, A., S.Kambekar, K., & Kupinskaya, A. (2019). Random Walks and
Market Efficiency in Chinese and Indian Equity Markets. Statistics, Optimization & Information
Computing. https://doi.org/10.19139/soic.v7i1.499
Mehla, S., & Goyal, S. K. (2013). Empirical Evidence on Weak Form of Efficiency in Indian
Stock Market. Asia-Pacific Journal of Management Research and Innovation.
https://doi.org/10.1177/2319510×1200800107
Nisar, S., & Hanif, M. (2012). Testing weak form of efficient market hypothesis: Empirical evidence
from South-Asia. World Applied Sciences Journal.
Sparrow, P., Dias, R., Šuleř, P., Teixeira, N., & Krulický, T. (2020). Integration in Central European
capital markets in the context of the global COVID-19 pandemic, 15(4). https://doi.
org/10.24136/eq.2020.027
Pernagallo, G., & Torrisi, B. (2019). An empirical analysis on the degree of Gaussianity and long
memory of financial returns in emerging economies. Physica A: Statistical Mechanics and
Its Applications. https://doi.org/10.1016/j.physa.2019.121296
Rehman, S., Chhapra, I. U., Kashif, M., & Rehan, R. (2018). Are Stock Prices a Random Walk?
An Empirical Evidence of Asian Stock Markets. ETIKONOMI. https://doi.org/10.15408/
etk.v17i2.7102
Rosenthal, L. (1983). An empirical test of the efficiency of the ADR market. Journal of Banking
& Finance, 7(1), 17-29. https://doi.org/10.1016/0378-4266(83)90053-5
Santos, Hortense & Dias, R. (2020). The Interactions of Stock Prices and Exchange Rates in the
ASEAN-5 Countries: The DCCA approach.