Information Transmitting Efficiency in China Gold Spot Market: A Random Walk Test with Wild and Bootstrap Variance Ratio Method

摘要

China provides an excellent empirical case study on the information transmitting efficiency in the capital market. Our paper extend the existing investigation based on much more new data and test the efficiency of information transmitting with Individual, Sub-sampling and Wild bootstrap Variance Ratio method. The empirical results show that gold prices reflect all the past information efficiently and no one can get abnormal return continuously. The China gold spot price followed Random Walk and the gold spot market is a weak-form efficiency market.