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Has Financialization in Commodity Markets Affected the Predictability in Metal Markets? The Efficient Markets Hypotheses for Metal Returns

Author

Listed:
  • Lya Paola Sierra

    (Department of Economics, Pontificia Universidad Javeriana, Calle 18 No. 118-250 Av. Ca asgordas, Cali, Colombia,)

  • Luis Eduardo Gir n

    (Department of Economics, Pontificia Universidad Javeriana, Colombia,)

  • Carolina Osorio

    (Energy Planning Office, Emcali E.I.C.E. Colombia.)

Abstract

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.

Suggested Citation

  • Lya Paola Sierra & Luis Eduardo Gir n & Carolina Osorio, 2017. "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, Econjournals, vol. 7(4), pages 15-22.
    • Handle: RePEc:eco:journ1:2017-04-03
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    References listed on IDEAS

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    Cited by:

    1. Sierra Lya Paola & Girón Luis Eduardo & Girón Victor & Girón Andrés, 2018. "What is the Spillover Effect of the U.S. Equity and Money Market on the Key Latin American Agricultural Exports?," Global Economy Journal, De Gruyter, vol. 18(4), pages 1-9, December.

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    More about this item

    Keywords

    Efficient Markets Hypotheses; Metal Prices; Forecasting;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • E39 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Other
    • F00 - International Economics - - General - - - General
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • Q02 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - General - - - Commodity Market

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