Speculative Efficiency on the London Metal Exchange
AbstractThis paper examines the proposition that forward rates are unbiased predictors of future spot rates for base metal prices on the London Metal Exchange. The analysis is complicated by the fact that the data are sampled more frequently than the life of the forward contracts. Though the implications of this for stationary inference are well known, it has not yet been addressed within the context of unit root econometrics. This is explored and an estimation and testing strategy is proposed. The results are surprisingly favorable to the unbiasedness proposition. Copyright 1995 by Blackwell Publishers Ltd and The Victoria University of Manchester
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Bibliographic InfoArticle provided by University of Manchester in its journal The Manchester School of Economic & Social Studies.
Volume (Year): 63 (1995)
Issue (Month): 3 (September)
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