Research on Efficiency and Multifractality of Gold Market under Major Events

(1) Background: As a safe-haven asset, gold attracts a large number of investors during major events. Uncertainties caused by global economic and market conditions lead to increased purchases of gold by investors, which in turn affects the efficiency of the gold market. (2) Methods: This article focuses on Shanghai gold and explores the potential impacts of different major events on the effectiveness and risk of China’s gold market using the Multifractal Detrended Fluctuation Analysis (MFDFA) method. (3) Results: the Chinese gold spot market is anti-persistence and exhibits significant multifractal characteristics, suggesting that the gold spot market possesses predictability and has significant volatility and high risk. Furthermore, the study conducts stage analysis based on different major events, and the results are as follows. The empirical results show that the gold market exhibits anti-persistence and multifractality features for three major events, i.e., the US–China trade war, the COVID-19 pandemic, and the Russia–Ukraine War. (4) Conclusions: for the COVID-19 pandemic, the intensity of anti-persistence is the highest. In addition, it is also found that the stronger the anti-persistence in the gold markets under a given event, the greater the corresponding risk. Finally, the article provides relevant decision-making suggestions for investors and risk managers.