How Predictable Are Precious Metal Returns?

28 Pages Posted: 20 Aug 2015 Last revised: 26 Aug 2016

See all articles by Andrew Urquhart

Andrew Urquhart

ICMA Centre, Henley Business School

Date Written: June 7, 2015


This paper provides strong evidence of time-varying return predictability of three precious metals from January 1987 to September 2014. We use three variations of the variance ratio test, the nonlinear BDS test as well as the Hurst exponent to evaluate the time-varying return predictability of precious metals to reduce the risk of spurious results. We show that even when the full sample period indicates no significant predictability, each market goes through periods of significant predictability as well as periods of unpredictability, according to all of the testing procedures used in this study. Our findings suggest that return predictability in precious metals does vary over time and that market efficiency is not an all-or-nothing condition, which is consistent with the Adaptive Market Hypothesis. We also show that platinum is the most predictable of the three precious metals and silver the least predictable, which may be of great to investors who include precious metals in their investment portfolios.

Keywords: Precious Metals, Predictability, Adaptive Market Hypothesis, Market Efficiency

JEL Classification: G14, G15

Suggested Citation

Urquhart, Andrew, How Predictable Are Precious Metal Returns? (June 7, 2015). Available at SSRN: or

Andrew Urquhart (Contact Author)

ICMA Centre, Henley Business School ( email )

University of Reading
Reading, Berkshire RG6 6BA
United Kingdom

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