适应性市场假说的实证研究——基于国际现货贵金属市场
|
摘要
本文选取1987年3月至2016年12月伦敦金属交易所的四种贵金属(黄金、白银、铂金和钯金)现货价格数据,基于time-varying AR模型构建有效性程度指标对适应性市场假说(AMH)进行实证研究。研究发现:四个贵金属市场的有效性均会随着时间的推移而发生改变,并且经济政治环境的变化是造成贵金属市场偏离有效市场的重要原因。在偏离有效市场之后,市场有逐渐回复到有效市场的趋势。进一步研究发现,黄金市场有效性程度指标的均值和波动幅度相对最小,而钯金市场的均值和波动幅度则相对最大。
This paper examines the adaptive market hypothesis(AMH) in international precious metal markets. Using time-varying autoregressive(TV-AR) model, we measure the degree of market efficiency of gold, silver, platinum and palladium from 1987 to 2016. It is found that the efficiency of international precious metals markets has been changing over time, depending on the prevailing economic and political conditions. The empirical results also show that market efficiency tends to return to normal level after price shocks, supporting the AMH for international precious metals spot markets. In particular, the gold market has been more resilient to external shocks, showing the highest degree of market efficiency among the four precious metal markets while palladium market showing the least degree of market efficiency.
This paper examines the adaptive market hypothesis(AMH) in international precious metal markets. Using time-varying autoregressive(TV-AR) model, we measure the degree of market efficiency of gold, silver, platinum and palladium from 1987 to 2016. It is found that the efficiency of international precious metals markets has been changing over time, depending on the prevailing economic and political conditions. The empirical results also show that market efficiency tends to return to normal level after price shocks, supporting the AMH for international precious metals spot markets. In particular, the gold market has been more resilient to external shocks, showing the highest degree of market efficiency among the four precious metal markets while palladium market showing the least degree of market efficiency.
引文
[1]O’Connor F A,Lucey B M,Batten J A,et al.The financial economics of gold — A survey[J].International Review of Financial Analysis,2015,41.
[2]Vigne S A,Lucey B M,O’Connor F A,et al.The Financial Economics of White Precious Metals - A Survey[J].International Review of Financial Analysis,2017,52.
[3]Fama E F.Efficient Capital Markets:A Review of Theory and Empirical Work[J].The Journal of Finance,1970,25(2).
[4]Barberis N,Shleifer A,Vishny R.A model of investor sentiment 1[J].Journal of Financial Economics,1998,49(3).
[5]Daniel K,Hirshleifer D,Subrahmanyam A.Investor Psychology and Security Market Under‐ and Overreactions[J].Journal of Finance,1998,53(6).
[6]Lo A W.The Adaptive MarketsHypothesis[J].Journal of Portfolio Management,2004,30(5).
[7]Simon,H .A Behavioral Model of Rational Choice[J].Quarterly Journal of Economics,69 (1955).
[8]Lo A W.Reconciling Efficient Markets with Behavioral Finance:the Adaptive Markets Hypothesis[J].Social Science Electronic Publishing,2005 ,31 (1).
[9]石建辉.试论适应性市场假说对投资的意义[J].生产力研究,2011(4).
[10]Tschoegl A E.Efficiency in the gold market — a note ☆[J].Journal of Banking & Finance,1980,4(4).
[11]Solt M E,Swanson P J.On the Efficiency of the Markets for Gold and Silver[J].Journal of Business,1981,54(3).
[12]A.Koutsoyiannis.A short-run pricing model for a speculative asset,tested with data from the gold bullion market[J].Applied Economics,1983,15(5).
[13]Yin‐Wong C,Lai K S.Do Gold Market Returns Have Long Memory?[J].Financial Review,2010,28(2).
[14]Ivanova K,Ausloos M.Low q-moment multifractal analysis of Gold price,Dow Jones Industrial Average and BGL-USD exchange rate[J].The European Physical Journal B - Condensed Matter and Complex Systems,1999,8(4).
[15]J.D.Byers,D.A.Peel.Volatility persistence in asset markets:long memory in high/lowprices[J].Applied Financial Economics,2001,11(3).
[16]Charles A,Darné O,Kim J H.Will precious metals shine?A market efficiency perspective[J].International Review of Financial Analysis,2015,41.
[17]Ntim C G,English J,Nwachukwu J,et al.On the efficiency of the global gold markets[J].International Review of Financial Analysis,2015,41.
[18]RajAggarwal,P.S.Sundararaghavan.Efficiency of the silver futures market :An empirical study using daily data[J].Journal of Banking and Finance,1987,11(1).
[19]Frank M,Stengos T.Measuring the Strangeness of Gold and Silver Rates of Return[J].Review of Economic Studies,1989,56(4).
[20]于虎山,秦学志.上海黄金期货市场有效性的实证分析[J].价值工程,2009,28(1).
[21]秦俊琦,邹楚楠.我国黄金期货市场有效性的实证分析[J].当代经济,2009(20).
[22]张露露.我国黄金期货市场有效性分析[J].商业经济研究,2010(33).
[23]谢家敏.中美黄金期货市场有效性的实证研究[J].上海商学院学报,2009,10(5).
[24]杨世伟,吴青.国际现货贵金属市场有效性、波动性及联动性的实证检验[J].经济研究参考,2013(49).
[25]周东生,唐焕文.有效市场假说与市场适应性有效[J].管理科学,2005,18(3).
[26]Ito M,Noda A,Wada T.The evolution of stock market efficiency in the US:a non-Bayesian time-varying modelapproach[J].Applied Economics,2016,48(7).
[27]Lütkepohl,H.2005.New Introduction to Multiple Time Series Analysis[J].spinger,2005,35(1).
[28]Akihiko,Noda.A test of the adaptive market hypothesis using a time-varying AR model in Japan[J].Finance Research Letters 17(2016).
[29]Newey W K,West K D.A Simple,Positive Semi-Definite,Heteroskedasticity and Autocorrelation Consistent Covariance Matrix[J].Econometrica,1987,55(3).
[30]World Gold Council (2011).Gold:a commodity like no other.www.gold.org.
[31]周孝华,宋庆阳,刘星.适应性市场假说及其在中国资本市场的实证[J].管理科学学报,2017,20(6).
(1)这里把φ∞称为长期乘数的原因具体可见Mikio Ito(2016)中的注脚6。
(2)这里能使用OLS和GLS的原因具体可参照Mikio Ito(2016)中的注脚11。
[2]Vigne S A,Lucey B M,O’Connor F A,et al.The Financial Economics of White Precious Metals - A Survey[J].International Review of Financial Analysis,2017,52.
[3]Fama E F.Efficient Capital Markets:A Review of Theory and Empirical Work[J].The Journal of Finance,1970,25(2).
[4]Barberis N,Shleifer A,Vishny R.A model of investor sentiment 1[J].Journal of Financial Economics,1998,49(3).
[5]Daniel K,Hirshleifer D,Subrahmanyam A.Investor Psychology and Security Market Under‐ and Overreactions[J].Journal of Finance,1998,53(6).
[6]Lo A W.The Adaptive MarketsHypothesis[J].Journal of Portfolio Management,2004,30(5).
[7]Simon,H .A Behavioral Model of Rational Choice[J].Quarterly Journal of Economics,69 (1955).
[8]Lo A W.Reconciling Efficient Markets with Behavioral Finance:the Adaptive Markets Hypothesis[J].Social Science Electronic Publishing,2005 ,31 (1).
[9]石建辉.试论适应性市场假说对投资的意义[J].生产力研究,2011(4).
[10]Tschoegl A E.Efficiency in the gold market — a note ☆[J].Journal of Banking & Finance,1980,4(4).
[11]Solt M E,Swanson P J.On the Efficiency of the Markets for Gold and Silver[J].Journal of Business,1981,54(3).
[12]A.Koutsoyiannis.A short-run pricing model for a speculative asset,tested with data from the gold bullion market[J].Applied Economics,1983,15(5).
[13]Yin‐Wong C,Lai K S.Do Gold Market Returns Have Long Memory?[J].Financial Review,2010,28(2).
[14]Ivanova K,Ausloos M.Low q-moment multifractal analysis of Gold price,Dow Jones Industrial Average and BGL-USD exchange rate[J].The European Physical Journal B - Condensed Matter and Complex Systems,1999,8(4).
[15]J.D.Byers,D.A.Peel.Volatility persistence in asset markets:long memory in high/lowprices[J].Applied Financial Economics,2001,11(3).
[16]Charles A,Darné O,Kim J H.Will precious metals shine?A market efficiency perspective[J].International Review of Financial Analysis,2015,41.
[17]Ntim C G,English J,Nwachukwu J,et al.On the efficiency of the global gold markets[J].International Review of Financial Analysis,2015,41.
[18]RajAggarwal,P.S.Sundararaghavan.Efficiency of the silver futures market :An empirical study using daily data[J].Journal of Banking and Finance,1987,11(1).
[19]Frank M,Stengos T.Measuring the Strangeness of Gold and Silver Rates of Return[J].Review of Economic Studies,1989,56(4).
[20]于虎山,秦学志.上海黄金期货市场有效性的实证分析[J].价值工程,2009,28(1).
[21]秦俊琦,邹楚楠.我国黄金期货市场有效性的实证分析[J].当代经济,2009(20).
[22]张露露.我国黄金期货市场有效性分析[J].商业经济研究,2010(33).
[23]谢家敏.中美黄金期货市场有效性的实证研究[J].上海商学院学报,2009,10(5).
[24]杨世伟,吴青.国际现货贵金属市场有效性、波动性及联动性的实证检验[J].经济研究参考,2013(49).
[25]周东生,唐焕文.有效市场假说与市场适应性有效[J].管理科学,2005,18(3).
[26]Ito M,Noda A,Wada T.The evolution of stock market efficiency in the US:a non-Bayesian time-varying modelapproach[J].Applied Economics,2016,48(7).
[27]Lütkepohl,H.2005.New Introduction to Multiple Time Series Analysis[J].spinger,2005,35(1).
[28]Akihiko,Noda.A test of the adaptive market hypothesis using a time-varying AR model in Japan[J].Finance Research Letters 17(2016).
[29]Newey W K,West K D.A Simple,Positive Semi-Definite,Heteroskedasticity and Autocorrelation Consistent Covariance Matrix[J].Econometrica,1987,55(3).
[30]World Gold Council (2011).Gold:a commodity like no other.www.gold.org.
[31]周孝华,宋庆阳,刘星.适应性市场假说及其在中国资本市场的实证[J].管理科学学报,2017,20(6).
(1)这里把φ∞称为长期乘数的原因具体可见Mikio Ito(2016)中的注脚6。
(2)这里能使用OLS和GLS的原因具体可参照Mikio Ito(2016)中的注脚11。
© 2004-2018 中国地质图书馆版权所有 京ICP备05064691号 京公网安备11010802017129号 地址：北京市海淀区学院路29号 邮编：100083 电话：办公室：(+86 10)66554848；文献借阅、咨询服务、科技查新：66554700 |