Has Financialization in Commodity Markets Affected the Predictability in Metal Markets? The Efficient Markets Hypotheses for Metal Returns

Lya Sierra (), Luis Eduardo Gir N and Carolina Osorio
Additional contact information
Luis Eduardo Gir N: 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

Abstract: 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)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://www.econjournals.com/index.php/ijefi/article/download/4695/pdf (application/pdf)
https://www.econjournals.com/index.php/ijefi/article/view/4695/pdf (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eco:journ1:2017-04-03

Access Statistics for this article

International Journal of Economics and Financial Issues is currently edited by Ilhan Ozturk

More articles in International Journal of Economics and Financial Issues from Econjournals
Bibliographic data for series maintained by Ilhan Ozturk ().