Speculative trading in the gold market

Dirk Baur, K.J. Glover

Research output: Contribution to journalArticlepeer-review

24 Citations (Scopus)

Abstract

© 2015 Elsevier Inc. In this paper we use a recently developed econometric test to identify bubble-like price behaviour in the gold market. We find that the price of gold followed an explosive price process between 2002 and 2012 and exhibited super-exponential growth between 2002 and 2008, indicating excessive speculative trading and exuberance in the gold market. We also provide a theoretical foundation for such bubble tests based on a behavioural model in which chartists can cause episodes of explosive price dynamics.The identification strategy yields economically intuitive results and is a simple alternative to using more complex estimation techniques commonly used in the heterogeneous agents literature.
Original languageEnglish
Pages (from-to)63-71
JournalInternational Review of Financial Analysis
Volume39
DOIs
Publication statusPublished - 2015

Fingerprint

Dive into the research topics of 'Speculative trading in the gold market'. Together they form a unique fingerprint.

Cite this