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The Efficiency Test of Gold Future Market in Japan
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 | |
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Item type | 紀要論文 / Departmental Bulletin Paper(1) | |||||
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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 |
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著者別名 | ||||||
識別子 | ||||||
識別子 | 158678 | |||||
識別子Scheme | WEKO | |||||
姓名 | ||||||
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 |
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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 |