SEMI-STRONG FORM EFFICIENCY OF GOLD MARKET: COLLECTIVE RATIONALISATION AND ISLAMIC CALENDAR ANOMALY
| Autor: | Misbah Wadood, Ammara Toqeer, Hira Idrees, Taqadus Bashir, Ammara Mujtaba, Ayesha Furrukh |
|---|---|
| Rok vydání: | 2021 |
| Předmět: |
050208 finance
Financial economics General Arts and Humanities media_common.quotation_subject 05 social sciences General Social Sciences Rationalisation Lunar calendar Islam Currency Originality 0502 economics and business Gold as an investment Economics 050207 economics Empirical evidence Robustness (economics) media_common |
| Zdroj: | Humanities & Social Sciences Reviews. 9:293-313 |
| ISSN: | 2395-6518 |
| DOI: | 10.18510/hssr.2021.9230 |
| Popis: | Purpose: The current study aimed to test the impact of two religious months on the return behaviour of the gold market in Pakistan under informational efficiency hypothesis i.e. to empirically test the semi-strong form of EMH in gold market for religious calendar anomaly. Methodology: Weekly gold prices in rupees per one gram that prevailed in Pakistan for the period January 2007 till December 2015 were selected, summing up to 468 observations. Data was taken from World Gold Council and the Bullion-rate database. Event methodology was employed for capturing and analyzing the pre and post event reactions by calculating abnormal returns. Furthermore, average security return variability was employed for robustness check. Main Findings: Opposing results were achieved for both the lunar calendar occurrences where the gold market is inefficient for the month of Ramazan but is found efficient in Muharram's case concluding into mixed evidence and findings. Implications/Applications: The contribution of this study differs from previous gold studies in two aspects; first the research investigated the effect of Ramazan and Muharram as Islamic calendar events, and second is that gold market prices of Pakistan that had not been examined earlier. So this study is adding to the literature in the sense of examining the new relationship in Pakistan. Novelty/Originality of this study: Extensive literature can be found about the global gold market that tested the weak form efficiency, but empirical evidence related to the semi-strong form efficiency of the gold market in Pakistan is not available neither the calendar anomaly related to the gold market is available. The dynamics of this very highly valuable and volatile asset market require investigation of such type. |
| Databáze: | OpenAIRE |
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