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Common Stochastic Trends: Evidence from the London Metal Exchange

Temisan Agbeyegbe ()

Bulletin of Economic Research, 1992, vol. 44, issue 2, 141-51

Abstract: Recent evidence from cointegration theory points towards the efficiency of the London Metal Exchange. The author shows that on theoretical grounds this evidence could be misleading. He also conducts multivariate and univariate unit roots tests on prices of three different metals, namely: copper, lead and zinc. The price data are seasonal and unadjusted quarterly data from the London Metal Exchange and they cover the period from 1972.1-1987.4. The evidence presented here supports the presence of common stochastic trends in metal price movements. Copyright 1992 by Blackwell Publishing Ltd and the Board of Trustees of the Bulletin of Economic Research

Date: 1992
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Handle: RePEc:bla:buecrs:v:44:y:1992:i:2:p:141-51