| Since the new millennium,the financial crisis and the sovereign debt crisis h ave successively erupted,coupled with Brexit and the escalating trade friction between China and the United States,the uncertainty of global capital markets has gradually been increasing,and high volatility and contagious effects have become increasingl y prominent.In this context,gold,as an asset that can bring significant diversified returns to traditional securities portfolios,thereby avoiding risks in the securities market,has returned to the academic and industry horizons,and its status is increasing.With the rapid development of China’s economy,the status of its gold market in the world’s gold market has continued to rise in recent years,making the market efficiency of China’s gold market a great concern for policy makers and investors from all countries.Therefore,it is necessary to study the dynamic market efficiency characteristics of China’s gold market and its influencing factors.Based on the summary of past literature research,this paper introduces the time-varying AR(TV-AR)model into China’s gold spot market and constructs an index of market effectiveness.From a qualitative perspective,according to the perspective of the adaptive market hypothesis(AMH)The dynamic market efficiency of the gold spot market is examined;in order t o more accurately explore the influencing factors of the dynamic market efficiency of the gold spot,so as to explore whether the AMH perspective can be applied to the gold market in China,this paper introduces quantile regression from the quantitative Di scuss the efficiency of dynamic markets.In order to fully examine the gold spot market,the empirical part of this article uses the gold spot closing prices of AU9995,AU9999,and AUT + D as the gold spot price data.The empirical results of this article show: First,changes in the market environment may have an impact on the spot gold market,causing the market to deviate from a weak-type effective trend.However,changes in the market environment must be within a certain range to have a significant impac t on market effectiveness.Secondly,the deviation of the gold market from weak-type effectiveness is temporary.In the long run,the gold spot market will gradually return to the weak-type effective state due to market participants’ adaptation to the new environment.Finally,institutional innovation can stabilize and strengthen the effectiveness of the market.This conclusion complements the view of the adaptive market hypothesis(AMH).The market’s return to a weakly efficient market is on the one hand the continuous adjustment of investment strategies by market participants to new The result of the market environment,on the other hand,may be because institutional innovation enables the market to absorb more information,thereby improving the effectiveness of the market.Based on the above empirical results,this article finally provides relevant suggestions for the investment strategy of gold spot market investors and government policies. |
