In this paper we examine the long-run relationship between gold and oil spot and futures markets. We draw on the conceptual framework that when oil price rises, it creates inflationary pressures, which instigate investments in gold as a hedge against inflation. We test for the long-run...

In this paper, we test the efficient market hypothesis for 100 US firms listed on the New York Stock Exchange. To test the unit root null hypothesis, we develop a generalized autoregressive heteroskedasticity (GARCH) model that not only caters for the GARCH errors but also allows for two...