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The Role of Canceled Warrants in the LME Market

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  • Jaehwan Park

    (Commodity Research Center, Public Procurement Service, Daejeon 35208, Korea)

Abstract

This article visits the question of whether canceled warrants (CWs) have a positive effect on LME metal prices. To examine this question carefully, a regression model is applied. This paper finds a statistically significant positive link between CWs and LME metal prices, including aluminum, zinc, tin, and nickel. However, other metals such as copper and lead are not statistically significant. The second objective of the study is to identify the dynamic response of metal price returns for aluminum, zinc, tin, and nickel to an innovation in the CWs using VAR. It is found that the positive impact of the CWs on metal returns is transitory.

Suggested Citation

  • Jaehwan Park, 2019. "The Role of Canceled Warrants in the LME Market," IJFS, MDPI, vol. 7(1), pages 1-10, February.
    • Handle: RePEc:gam:jijfss:v:7:y:2019:i:1:p:10-:d:205320
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    References listed on IDEAS

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    1. repec:cii:cepiei:2011-q2-3-126-127-5 is not listed on IDEAS
    2. Mohamed El Hedi Arouri & Fredj Jawadi & Prosper Mouak, 2011. "The speculative efficiency of the aluminum market: A nonlinear Investigation," International Economics, CEPII research center, issue 126-127, pages 73-89.
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    Cited by:

    1. Jaehwan Park, 2019. "Effect of Speculators’ Position Changes on the LME Futures Market," IJFS, MDPI, vol. 7(2), pages 1-9, June.
    2. Byungkwon Lim & Hyeon Sook Kim & Jaehwan Park, 2020. "Direct Effect of TC on the LME Copper Prices," Economies, MDPI, vol. 8(2), pages 1-9, May.

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