مقایسه کارایی اطلاعاتی بین بازارهای نقد و آتی سکه طلا

References

Baur, D.G., Dicht, H. & Drobetz, W. (2018). Investing in gold- Market timing or buy-and-hold? International Review of Financial Analysis, (1281), 408-444.

Chaihetphon, P. & Pavabutr, P. (2010). Price discovery in the Indian gold futures market. Journal of Economics and Finance, (34), 455-467.

Charles, A., Darné, O. & Kimc, J. (2015). Will precious metals shine? A market efficiency perspective. International Review of Financial Analysis, (41), 284–291.

Daskalaki, C. & Skiadopoulos, G. (2011). Should investors include commodities in their portfolios after all? New evidence. Journal of Banking and Finance, (35), 2606–2626.

Dimson, E. & Mussavian, M. (1998). A brief history of market efficiency. Published in European Financial Management, (4), 91-193.

Fama, E. (1970). Efficiance Capital Market: A Review of Theory and Emperial Work. The Journal of Finance, (2. PP), 383-417.

Fama, E. (1991). Efficient Capital Markets: II. The Journal of Finance, 5, 1575 -1617.

Fama, E. (1998). Market efficiency, long-term returns, and behavioral finance. Journal of Financial Economics, (49), 283–306.

Ho, Y.K. (1985). A test of the incrementally efficient market hypothesis for the London gold market. Economics Letters, 19(1), 67–70.

Hodrea, R. (2015). An intraday analysis of the market efficiency-liquidity relationship: the case of BVB stock exchange. Procedia Economics and Finance, (32), 1432 – 1441.

Iwatsubo, K., Watkins, C. and Xu, T. (2018). Intraday seasonality in efficiency, liquidity, volatility and volume: Platinum and gold futures in Tokyo and New York. Journal of Commodity Markets, (54), 311–323.

Kimiagari, M., Tizhari, M. (2006). A Model for Testing and Improving Stock Market Efficiency. Financial Research Journal, 8(22), 67-88. (in Persian)

Kristoufek, L. & Vosvrda, M. (2014). Commodity futures and market efficiency. Energy Economics, (42), 50–57.

Kristoufek, L. & Vosvrda, M. (2016). Gold, currencies and market efficiency. Physica A, (449), 27-34.

Lean, H., Mcaleer, M. & Wong, W. (2010). Market efficiency of oil spot and futures: A mean-variance and stochastic dominance appraoch. Energy Economics, (32), 979-986.

Lo, A. & MacKinlay, A. (1988). Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test. The Review of Financial Studies, (1), 41–66.

Malkeil, B. (2003). The Efficient Market Hypothesis and Its Critics. Journal of Economic Perspectives, 17 (1), 59–82.

Mensi, W., Al-Yahyaee, K. & Kangc, S. (2017). Time-varying volatility spillovers between stock and precious metal markets with portfolio implications. Resources Policy, (53), 88-102.

Mohammadpoor, S. & Rezazadeh, A. (2019). The Investigation of Time Varying Efficiency in Financial Markets of Iran: Case Study of Foreign Exchange and Gold Markets. Financial Research Journal, 21(3), 448-471. (in Persian)

Nicolau, M. & Palomba, G. (2015). Dynamic relationships between spot and futures prices. The case of energy and gold commodities. Resources Policy, (45), 130-143.

Ntim, C., English, J., Nwachukwu, J. & Wang, Y. (2015). The efficiency of the global gold markets. International Review of Financial Analysis, (41), 218–236.

O'Connor, F., Lucey, B., Batten, J. & Baur, D. (2015). The financial economics of gold—A survey. International Review of Financial Analysis, (41), 186–205.

Pierdzioch, C., Risse, M. & Rohloff, S. (2014). On the efficiency of the gold market: Results of a real-time forecasting approach. International Review of Financial Analysis, (32), 95–108.

Ruan, Q. & WeiJiang, Y. (2016). The exceedance and cross-correlations between the gold spot and futures markets. Physica A, (463), 139–151.

Saleh abadi, A., Hassas Yeganeh, Y., Zargham boroujeni, H. & Ebadi, J. (2016). Mutual Fund Performance Persistence, Financial Research Journal, 18(2), 331-346. (in Persian)

Shrestha, K., Subramaniam, R. & Rassiah, P. (2017). Pure martingale and joint normality tests for energy futures contracts. Energy Economics, (63), 174–184.

Tschoegl, A. (1980). Efficiency in the gold market — a note. Journal of Banking & Finance, 371-379.

Wang, Y., Weib, Y. & Wua, C. (2011). Analysis of the efficiency and multifractality of gold markets based on multifractal detrended fluctuation analysis. Physica A, (390), 817–827.

Wright, J. (2000). Alternative Variance-Ratio Tests Using Ranks and Signs. Journal of Business & Economic Statistics, (18), 1–9.

Wu, C. & Chiu, J. (2017). Economic evaluation of asymmetric and price range information in gold and general financial markets. Journal of International Money and Finance, 74, 53–68.