期刊
出版社
WORLD SCIENTIFIC PUBL CO PTE LTD
DOI: 10.1142/S0218348X21500109
关键词
Gold Market; Multifractal; Geopolitical; Economic Events
资金
- CAPES
- CNPq [307445/2018-6, 304497/2019-3]
This paper investigates the efficiency of the gold market through the time evolution of multifractal spectrum parameters, finding that geopolitical and economic events can decrease market efficiency by inducing changes in gold price dynamics towards increased persistency and stronger multifractality. The study shows that underlying stochastic process exhibits stronger multifractality across all analyzed events and window sizes, as indicated by the increase in the spectrum width.
In this paper, we investigate the efficiency of gold market through time evolution of multifractal spectrum parameters (position of maximum, width and asymmetry), by applying multifractal detrended fluctuation analysis in sliding windows of 4, 10 and 20 years. We find that geopolitical and economic events can decrease market efficiency by inducing changes in gold price dynamics toward increased persistency and stronger multifractality with dominance of large fluctuations. For all analyzed geopolitical events and for all windows sizes, we found stronger multifractality of underlying stochastic process, indicated by the increase in the spectrum width W.
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