Has Financialization in Commodity Markets Affected the Predictability in Metal Markets? The Efficient Markets Hypotheses for Metal Returns
Lya Paola Sierra,
Luis Eduardo Girón and
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Lya Paola Sierra: Department of Economics, Pontificia Universidad Javeriana, Calle 18 No. 118-250 Av. Cañasgordas, Cali, Colombia,
Luis Eduardo Girón: Department of Economics, Pontificia Universidad Javeriana, Colombia,
Carolina Osorio: Energy Planning Office, Emcali E.I.C.E. Colombia.
International Journal of Economics and Financial Issues, 2017, vol. 7, issue 4, 15-22
This article evaluates the hypothesis that returns of metal prices are unpredictable (i.e., under the weak form efficient market hypothesis). The possible effect that financialization in the commodity market has had in the predictability of this is also evaluated. Using statistical techniques such as the portmanteau test, the variance ratio test, and a robustness test on the monthly returns of metals for the 1992-2015 period, it is found that the market of some metals is persistently inefficient whereas others fluctuate between periods of efficiency and inefficiency. There is no clear effect of financialization on the efficiency of the metal market.
Keywords: Efficient Markets Hypotheses; Metal Prices; Forecasting (search for similar items in EconPapers)
JEL-codes: C12 E39 F00 G14 Q02 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:eco:journ1:2017-04-03
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