适应性市场假说:来自伦敦黄金40年的证据

Adaptive Markets Hypothesis:Evidence from 40 years of London Gold Data

使用伦敦现货黄金1973~2013年日数据,运用automatic portmanteau Box-Pierce test和wild bootstrapped automatic variance ratio test,检验了黄金收益的可预测性,并使用滑动子样本窗口检验了收益可预测性的时变特征。研究发现:不断变化的市场环境驱动着收益可预测性;尽管多数情况下收益是不可预测的,一些短暂的统计显著的收益可预测性主要和战争、美元政策以及次贷危机等重大外因事件有关。研究结果支持适应性市场假说,即变化的市场环境驱动着黄金的收益可预测性。

By means of the daily London Gold spot data from 1973 to 2013,we test Gold return predictability using the automatic portmanteau Box-Pierce test and the wild boot-strapped automatic variance ratio test,and test the time varying nature of return predictability via rolling sub-sample window.We find evidence that return predictability is driven by changing market conditions.Although returns are found to be unpredictable most of the sample periods,some short-lived statistically significant return predictability can be associated with major exogenous events such as Wars,Dollar Policy,Subprime Mortgage Crisis.The results are in strong support of the adaptive markets hypothesis,whichs claim that changing market conditions drive the key market features such as the return predictability.