Asynchronous market efficiency in gold and silver markets: a local currency lens

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Date
2026-05-13
Authors
H.M.U., Rana
O'Connor, Fergal
Yerushalm, Erez
Kim, Jae H.
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Elsevier
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Abstract
This study examines the Adaptive Market Hypothesis (AMH) in locally denominated precious metals markets across six countries, where prior research has focused on U.S. dollardenominated prices. Using linear and nonlinear methods: the Automatic Portmanteau, Wild Bootstrap Automatic Variance Ratio, and Generalised Spectral tests, we analyse the evolving efficiency of these markets over time. Our findings reveal that market inefficiencies fluctuate, driven by factors such as regulatory controls, cultural dynamics, and market structure. These inefficiencies create predictable trading opportunities, particularly in the gold-Swiss sector, and underscore the importance of localised portfolio risk management strategies.
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Keywords
Adaptive markets hypothesis , Local currencies , Asynchronous efficiency , Precious metals , [Business] , [CUBS]
Citation
Rana, H.M.U., O'Connor, F., Yerushalm, E. and Kim, J. H. (2026) 'Asynchronous market efficiency in gold and silver markets: a local currency lens', Finance Research Letters.
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https://hdl.handle.net/10468/18760
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Cork University Business School
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© 2026, Elsevier Inc. All rights are reserved, including those for text and data mining, AI training, and similar technologies. This manuscript version is made available under the CC BY-NC-ND 4.0 license.