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Asynchronous market efficiency in gold and silver markets: A local currency lens

Author

Listed:
  • Rana, Hafiz Muhammad Usman
  • O'Connor, Fergal
  • Yerushalmi, Erez
  • Kim, Jae H.

Abstract

This study examines the Adaptive Market Hypothesis (AMH) in locally denominated precious metals markets across six countries, where prior research has focused on U.S. dollar-denominated prices. Using linear and nonlinear methods: the Automatic Portmanteau, Wild Bootstrap Automatic Variance Ratio, and Generalised Spectral tests, we analyse the evolving efficiency of these markets over time. Our findings reveal that market inefficiencies fluctuate, driven by factors such as regulatory controls, cultural dynamics, and market structure. These inefficiencies create predictable trading opportunities, particularly in the gold-Swiss sector, and underscore the importance of localised portfolio risk management strategies.

Suggested Citation

  • Rana, Hafiz Muhammad Usman & O'Connor, Fergal & Yerushalmi, Erez & Kim, Jae H., 2026. "Asynchronous market efficiency in gold and silver markets: A local currency lens," Finance Research Letters, Elsevier, vol. 103(C).
    • Handle: RePEc:eee:finlet:v:103:y:2026:i:c:s1544612326007002
    DOI: 10.1016/j.frl.2026.110172
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    JEL classification:

    • G4 - Financial Economics - - Behavioral Finance
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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