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The short- and long-run efficiency of energy, precious metals, and base metals markets: Evidence from the exponential smooth transition autoregressive models

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  • Cagli, Efe Caglar
  • Taskin, Dilvin
  • Evrim Mandaci, Pınar

Abstract

The aim of this paper is to investigate the long and short-run relationship between spot and futures prices of the energy, precious metals, and base metals markets. We analyze daily data from January 1985 to February 2019. The empirical findings based on the cointegration test, which follows a nonlinear process, suggest that the spot prices of energy and metals assets have long-run relationships with their futures prices. Nonparametric Granger causality test results also indicate bi-directional causality among futures and spot prices. These findings indicate that the energy and metals markets are informationally efficient in the sense of Fama (1970).

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  • Cagli, Efe Caglar & Taskin, Dilvin & Evrim Mandaci, Pınar, 2019. "The short- and long-run efficiency of energy, precious metals, and base metals markets: Evidence from the exponential smooth transition autoregressive models," Energy Economics, Elsevier, vol. 84(C).
    • Handle: RePEc:eee:eneeco:v:84:y:2019:i:c:s0140988319303354
    DOI: 10.1016/j.eneco.2019.104540
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    More about this item

    Keywords

    Market efficiency; Energy; Precious metals; Base metals; Nonlinear cointegration; Nonparametric granger causality;
    All these keywords.

    JEL classification:

    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • Q41 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Demand and Supply; Prices

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