TY - JOUR
T1 - An information theory perspective on the informational efficiency of gold price
AU - Bariviera, Aurelio F.
AU - Font-Ferrer, Alejandro
AU - Sorrosal-Forradellas, M. Teresa
AU - Rosso, Osvaldo A.
N1 - Publisher Copyright:
© 2019 Elsevier Inc.
PY - 2019/11
Y1 - 2019/11
N2 - This paper studies the informational efficiency of the gold market, and its variability due to economic distress situations. The period under study goes from 1968 until 2017. We use quantifiers derived from Information Theory in order to analyze the stochastic dynamics of gold price. In particular, we use permutation entropy, permutation statistical complexity and Fisher Information Measure, to assess the time varying dynamics of price time series. We find that the stochastic regime in the time series exhibits three distinct dynamics, roughly divided in years 1968–1981, 1981–2003, 2003–2017. Additionally, informational efficiency is affected by major economic and political events. Finally, we detect a strong persistence in volatility.
AB - This paper studies the informational efficiency of the gold market, and its variability due to economic distress situations. The period under study goes from 1968 until 2017. We use quantifiers derived from Information Theory in order to analyze the stochastic dynamics of gold price. In particular, we use permutation entropy, permutation statistical complexity and Fisher Information Measure, to assess the time varying dynamics of price time series. We find that the stochastic regime in the time series exhibits three distinct dynamics, roughly divided in years 1968–1981, 1981–2003, 2003–2017. Additionally, informational efficiency is affected by major economic and political events. Finally, we detect a strong persistence in volatility.
KW - Economic crisis
KW - Fisher Information Measure
KW - Gold
KW - Permutation entropy
KW - Statistical complexity
UR - http://www.scopus.com/inward/record.url?scp=85068118552&partnerID=8YFLogxK
UR - https://www.mendeley.com/catalogue/28432953-2fc4-30a6-a359-0f8c2558f7ac/
U2 - 10.1016/j.najef.2019.101018
DO - 10.1016/j.najef.2019.101018
M3 - Article in a journal
AN - SCOPUS:85068118552
SN - 1062-9408
VL - 50
JO - North American Journal of Economics and Finance
JF - North American Journal of Economics and Finance
M1 - 101018
ER -