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  1. 040 経済学部
  2. 20 紀要
  3. 02 新潟大学経済論集
  4. 第85号
  1. 0 資料タイプ別
  2. 03 紀要論文

The Efficiency Test of Gold Future Market in Japan

http://hdl.handle.net/10191/6641
http://hdl.handle.net/10191/6641
76e568ed-f754-4481-914a-df580b3363d1
名前 / ファイル ライセンス アクション
85_197-202.pdf 85_197-202.pdf (809.3 kB)
Item type 紀要論文 / Departmental Bulletin Paper(1)
公開日 2008-10-30
タイトル
タイトル The Efficiency Test of Gold Future Market in Japan
タイトル
言語 en
タイトル The Efficiency Test of Gold Future Market in Japan
言語
言語 eng
キーワード
主題Scheme Other
主題 Market Efficiency
キーワード
主題Scheme Other
主題 Gold Future
キーワード
主題Scheme Other
主題 Cointegration
資源タイプ
資源 http://purl.org/coar/resource_type/c_6501
タイプ departmental bulletin paper
著者 Ito, Takayasu

× Ito, Takayasu

WEKO 158677

Ito, Takayasu

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著者別名
識別子 158678
識別子Scheme WEKO
姓名 伊藤, 隆康
抄録
内容記述タイプ Abstract
内容記述 This paper examines the market efficiency of gold future market in Japan. According to Fama (1970), there are three forms of market efficiency tests. They are weak form, semi-strong form and strong form. This paper investigates weak form of market efficiency. Cointegration test is conducted to avoid a problem of spurious regression caused by a non-stationarity of future prices and spot prices. Gold future prices and spot prices are in the long run equilibrium, but they are not in a relationship of one to one. From the results of empirical analysis, the conclusion can be made that gold future market is not efficient in Japan.
書誌情報 新潟大学経済論集
en : 新潟大学経済論集

巻 85, p. 197-202, 発行日 2008-09
出版者
出版者 新潟大学経済学会
ISSN
収録物識別子タイプ ISSN
収録物識別子 02861569
書誌レコードID
収録物識別子タイプ NCID
収録物識別子 AN00183269
著者版フラグ
値 publisher
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