Has Financialization in Commodity Markets Affected the Predictability in Metal Markets? The Efficient Markets Hypotheses for Metal Returns
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...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
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EconJournals
2017-07-01
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| Series: | International Journal of Economics and Financial Issues |
| Online Access: | https://econjournals.com/index.php/ijefi/article/view/4695 |
| _version_ | 1797908097840185344 |
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| author | Lya Paola Sierra Luis Eduardo Girón Carolina Osorio |
| author_facet | Lya Paola Sierra Luis Eduardo Girón Carolina Osorio |
| author_sort | Lya Paola Sierra |
| collection | DOAJ |
| description |
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
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| first_indexed | 2024-04-10T10:47:14Z |
| format | Article |
| id | doaj.art-19405c816d724a5f844c5286d71288b2 |
| institution | Directory Open Access Journal |
| issn | 2146-4138 |
| language | English |
| last_indexed | 2024-04-10T10:47:14Z |
| publishDate | 2017-07-01 |
| publisher | EconJournals |
| record_format | Article |
| series | International Journal of Economics and Financial Issues |
| spelling | doaj.art-19405c816d724a5f844c5286d71288b22023-02-15T16:20:15ZengEconJournalsInternational Journal of Economics and Financial Issues2146-41382017-07-0174Has Financialization in Commodity Markets Affected the Predictability in Metal Markets? The Efficient Markets Hypotheses for Metal ReturnsLya Paola Sierra0Luis Eduardo Girón1Carolina Osorio2Associate Professor Pontificia Universidad JaverianaAssistant professor Pontificia Universidad JverianaPontificia Unviversidad Javeriana 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 https://econjournals.com/index.php/ijefi/article/view/4695 |
| spellingShingle | Lya Paola Sierra Luis Eduardo Girón Carolina Osorio Has Financialization in Commodity Markets Affected the Predictability in Metal Markets? The Efficient Markets Hypotheses for Metal Returns International Journal of Economics and Financial Issues |
| title | Has Financialization in Commodity Markets Affected the Predictability in Metal Markets? The Efficient Markets Hypotheses for Metal Returns |
| title_full | Has Financialization in Commodity Markets Affected the Predictability in Metal Markets? The Efficient Markets Hypotheses for Metal Returns |
| title_fullStr | Has Financialization in Commodity Markets Affected the Predictability in Metal Markets? The Efficient Markets Hypotheses for Metal Returns |
| title_full_unstemmed | Has Financialization in Commodity Markets Affected the Predictability in Metal Markets? The Efficient Markets Hypotheses for Metal Returns |
| title_short | Has Financialization in Commodity Markets Affected the Predictability in Metal Markets? The Efficient Markets Hypotheses for Metal Returns |
| title_sort | has financialization in commodity markets affected the predictability in metal markets the efficient markets hypotheses for metal returns |
| url | https://econjournals.com/index.php/ijefi/article/view/4695 |
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