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.
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