The short- and long-run efficiency of energy, precious metals, and base metals markets: Evidence from the exponential smooth transition autoregressive models
Efe Caglar Cagli,
Dilvin Taskin and
Pınar Evrim Mandaci
Energy Economics, 2019, vol. 84, issue C
The aim of this paper is to investigate the long and short-run relationship between spot and futures prices of the energy, precious metals, and base metals markets. We analyze daily data from January 1985 to February 2019. The empirical findings based on the cointegration test, which follows a nonlinear process, suggest that the spot prices of energy and metals assets have long-run relationships with their futures prices. Nonparametric Granger causality test results also indicate bi-directional causality among futures and spot prices. These findings indicate that the energy and metals markets are informationally efficient in the sense of Fama (1970).
Keywords: Market efficiency; Energy; Precious metals; Base metals; Nonlinear cointegration; Nonparametric granger causality (search for similar items in EconPapers)
JEL-codes: G13 G14 Q41 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:eneeco:v:84:y:2019:i:c:s0140988319303354
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