Testing Efficiency of the London Metal Exchange: New Evidence

Jaehwan Park () and Byungkwon Lim
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Byungkwon Lim: Housing Finance Research Institute, Korea Housing Finance Corporation, Busan 48400, Korea

IJFS, 2018, vol. 6, issue 1, 1-10

Abstract: This paper explores the market efficiency of the six base metals traded on the LME (London Metal Exchange) using daily data from January 2000 to June 2016. The hypothesis that futures prices 3M (3-month) are unbiased predictors of spot prices (cash) in the LME is rejected based on the false premise that the financialization of commodities has been growing. For the robustness check, monthly data is analyzed using ordinary least squares (OLS) and GARCH (1,1) models. We reject the null hypothesis for all metals except for zinc.

Keywords: market efficiency; London Metal Exchange; unbiased estimators; financialization (search for similar items in EconPapers)
JEL-codes: F2 F3 F41 F42 G1 G2 G3 (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7)

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