An information theory perspective on the informational efficiency of gold price

Bariviera, Aurelio F.; Font-Ferrer, Alejandro; Sorrosal-Forradellas, M. Teresa; Rosso, Osvaldo A.

doi:10.1016/j.najef.2019.101018

Cited by 28 publications

(12 citation statements)

References 70 publications

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“…Using permutation entropy, permutation statistical complexity and Fisher Information Measure, Bariviera et al ( 2019 ) examine the variability of informational efficiency of gold prices during economic distress period. The results exhibit strong persistence of volatility and the market inefficiency is sensitive to political and economic crises.…”

Section: Introductionmentioning

confidence: 99%

Impact of COVID-19 outbreak on asymmetric multifractality of gold and oil prices

et al. 2020

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This paper examines the impacts of COVID-19 on the multifractality of gold and oil prices based on upward and downward trends. We apply the Asymmetric Multifractal Detrended Fluctuation Analysis (A-MF-DFA) approach to 15-min interval intraday data. The results show strong evidence of asymmetric multifractality that increases as the fractality scale increases. Moreover, multifractality is especially higher in the downside (upside) trend for Brent oil (gold), and this excess asymmetry has been more accentuated during the COVID-19 outbreak. Before the outbreak, the gold (oil) market was more inefficient during downward (upward) trends. During the COVID-19 outbreak period, we see that the results have changed. More precisely, we find that gold (oil) is more inefficient during upward (downward) trends. Gold and oil markets have been inefficient, particularly during the outbreak. The efficiency of gold and oil markets is sensitive to scales, market trends, and to the pandemic outbreak, highlighting the investor sentiment effect.

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Section: Introductionmentioning

confidence: 99%

Impact of COVID-19 outbreak on asymmetric multifractality of gold and oil prices

et al. 2020

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“…Moreover, we employ the efficiency index 𝐸 = 𝐻 𝑠 −𝐹 𝑠 proposed by Bariviera et al (2019) to examine temporal evolution of the degree of informational efficiency of these commodities. Specifically, the efficiency index values are interpolated between -1 and 1.…”

Section: Resultsmentioning

confidence: 99%

Booms in commodities price: assessing disorder and similarity overeconomic cycles

Fernandes¹,

Araujo²,

Silva³

et al. 2022

Preprint

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This paper provides an overview of the commodities market, considering three relevant attributes: predictability, similarity, and efficiency. We examine the monthly spot and futures prices time series for 22 commodities from January 1984 until January 2022 with 457 observations. We estimate the permutation entropy (𝐸 𝑠 ) and Fisher information measure 𝐹 𝑠 using the Bandt & Pompe method (BPM). We employ the value of these two complexity measures to construct the Shannon-Fisher Causality Plane (SFCP), which allows us to evaluate the disorder and assess the randomness present in the monthly spot and futures prices time series for these commodities. Moreover, we apply 𝐸 𝑠 and 𝐹 𝑠 to classify the commodities using complexity hierarchy. We find that the commodities that are located farther from the random ideal position (𝐸 𝑠 = 1, 𝐹 𝑠 = 0) in the SFCP, such as Natural gas, Europe; Iron ore, cfr spot, and Potassium chloride are marked by lower entropy, higher predictability and lower efficiency. In contrast, the commodities that are located near the random ideal position (𝐸 𝑠 = 1, 𝐹 𝑠 = 0) in the SFCP, such as Crude oil -Brent; Crude oil -average, and Silver are characterized by higher entropy, lower predictability and higher efficiency. The K-means algorithm and the hierarchical cluster grouped commodities into only three distinct groups, which is a strong indication that commodity prices have very similar behaviour.

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“…By contrast, the low synchronisation of stock prices indicates that information about a firm's characteristics is substantially reflected in its stock price. The inclusion of A-shares in the MSCI Index is an important measure for promoting the further opening up of the domestic capital market, which can attract not only an inflow of overseas funds from passiveindex and active-tracking funds but also the attention of foreign and institutional investors [15,16]. As the overseas investment market is relatively developed and perfect, investors have considerable investment knowledge, perfect investment concepts, and robust abilities to collect and process information, which can play a vital role in improving the efficiency of information transmission in the capital market [17,18].…”

Section: Literature Review and Hypothesis Developmentmentioning

confidence: 99%

Did the Inclusion of China’s A-Shares in the MSCI Index Improve the Information Content of Listed Firms? Analysis Based on Stock Price Synchronisation and Environmental Social Governance

2022

Wireless Communications and Mobile Computing

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Chinese A-shares were officially included in the Morgan Stanley Capital International (MSCI) Emerging Markets Index from June 2018. The inclusion of the A-share market into the MSCI Index is one of the most influential events in the opening up of the capital market of China. However, China’s A-share market has an imperfect system compared with that of developed countries. Stock price synchronisation is more serious in China than in developed countries, and Environmental Social Governance (ESG) disclosures are imperfect. Excessive stock price synchronicity can affect the information content of stock prices, and imperfect ESG disclosures are not conducive to the investment decisions of investors and thus not conducive to the price mechanism for adjusting the market. From the perspective of stock price synchronisation and ESG disclosure, this study discusses the impact of the exogenous event of the inclusion of A-shares in the MSCI Index on China’s capital market. Based on data of listed firms from 2011 to 2019, this study determines whether MSCI target stocks have high stock price information content and explores the ESG disclosure level based on a difference-in-differences (DID) model. In addition, this study conducts a parallel trend hypothesis test and propensity score matching (PSM) to test the robustness of the results. Empirical results show that the inclusion of A-shares in the MSCI Index increased the stock price information content and reduced the stock price synchronisation of MSCI target stocks. At the same time, this study tests the quality of the ESG information disclosure of A-shares after their inclusion in the MSCI Index and finds that the level of disclosure of the underlying stocks improved. This finding indicates that the inclusion of A-shares in the MSCI Index plays a role in improving the quality of ESG disclosure through information channels. The research conclusions have important implications for the active promotion of the expansion of the MSCI Index and further opening up of the capital market of China. In addition, the conclusions can provide a reference for subsequent MCSI decision-making and insights into the capital markets of other emerging-market countries.

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An information theory perspective on the informational efficiency of gold price

Cited by 28 publications

References 70 publications

Impact of COVID-19 outbreak on asymmetric multifractality of gold and oil prices

Impact of COVID-19 outbreak on asymmetric multifractality of gold and oil prices

Booms in commodities price: assessing disorder and similarity overeconomic cycles

Did the Inclusion of China’s A-Shares in the MSCI Index Improve the Information Content of Listed Firms? Analysis Based on Stock Price Synchronisation and Environmental Social Governance

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