文章基本信息

标题：Has Financialization in Commodity Markets Affected the Predictability in Metal Markets? The Efficient Markets Hypotheses for Metal Returns
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作者：Lya Paola Sierra ; Luis Eduardo Girón ; Carolina Osorio 等
期刊名称：International Journal of Economics and Financial Issues
电子版ISSN：2146-4138
出版年度：2017
卷号：7
期号：4
页码：15-22
语种：English
出版社：EconJournals
摘要：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. JEL Classifications: C12, E39, F00, G14, Q02
其他摘要：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. JEL Classifications: C12, E39, F00, G14, Q02