Testing the Weak Form of Efficient Market Hypothesis in Period of the Global Pandemic of 2020 and the Russian Invasion in 2022: Empirical Evidence from XAU, XAG and XPT

Nicole Horta – School of Business and Administration, Polytechnic Institute of Setúbal, Portugal

Rui Dias – School of Business and Administration, Polytechnic Institute of Setúbal, Portugal; Center for Studies and Advanced Training in Management and Economics (CEFAGE), University of Évora, Portugal

Paula Heliodoro – School of Business and Administration, Polytechnic Institute of Setúbal, Portugal

Paulo Alexandre – School of Business and Administration, Polytechnic Institute of Setúbal, Portugal

Mariana Chambino – School of Business and Administration, Polytechnic Institute of Setúbal, Portugal

Abstract: This study intends to determine if the events of 2020 and 2022 have had an impact on the efficiency of the commodities markets, in particular the spot prices of gold (XAU), silver (XAG), and platinum (XPT), between Septem­ber 18th, 2017, and September 15th, 2022. The findings of the Rankings and Sig­nals test demonstrate that, during the calm time, the gold, silver, and plati­num markets do not reject the random walk hypothesis, which means that spot prices are independent and identically distributed (i.i.d.), consequently their movements are assumed to be random. Contrarily, the random walk hy­pothesis is rejected during the Stress period in all commodity markets, with variance ratios below unity, suggesting that returns show significant auto­correlation. To support this, the findings of the exponent Detrended Fluctua­tion Analysis (DFA) reveal that silver (XAG) had an antipersistent short mem­ory (α < 0,5), during the Calm period, transitioning to a persistent movement (α > 0,5) during the time of the crisis. While the worldwide financial markets were stable, platinum (XPT) was in a state of equilibrium. This state changed to persistent with the succession of events starting in 2020 (α >0,5). In turn, gold (XAU) reduced its antipersistence (α <0,5) throughout the period of stress in international markets. In conclusion, there is evidence of some dependen­cy in the time series, but this dependence does not appear to be easily exploit­able by investors. These findings have significant implications for gold, silver, and platinum’s roles as investment assets.

6th International Scientific Conference on Recent Advances in Information Technology, Tourism, Economics, Management and Agriculture – ITEMA 2022 – Conference Proceedings, Hybrid (University of Maribor, Slovenia), October 27, 2022

ITEMA Conference Proceedings published by: Association of Economists and Managers of the Balkans – Belgrade, Serbia

ITEMA conference partners: Faculty of Economics and Business, University of Maribor, Slovenia; Faculty of Organization and Informatics, University of Zagreb, Varaždin; Faculty of Geography, University of Belgrade, Serbia; Institute of Marketing, Poznan University of Economics and Business, Poland; Faculty of Agriculture, Banat’s University of Agricultural Sciences and Veterinary Medicine ”King Michael I of Romania”, Romania

ITEMA Conference 2022 Conference Proceedings: ISBN 978-86-80194-63-9, ISSN 2683-5991, DOI: https://doi.org/10.31410/ITEMA.2022

Creative Commons Non Commercial CC BY-NC: This article is distributed under the terms of the Creative Commons Attribution-Non-Commercial 4.0 License (https://creativecommons.org/licenses/by-nc/4.0/) which permits non-commercial use, reproduction and distribution of the work without further permission. 

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