Prix des matières premières : un test sur l'hypothèse d'efficience des marchés
[eng] The aim of this study is to test the joint hypothesis of rational expectations and market efficiency in commodity price determination. The test is based on the analysis of co-movements between commodity prices. It takes into account the specific dynamics of these series, especially the presence of large spikes. Several series exhibit co-movements in excess of what can be explained by their relationship with selected aggregate demand variables. [fre] Cette étude vise à tester les hypothèses de rationalité des anticipations et d'efficience des marchés dans la détermination des prix des matières premières. Le test proposé est fondé sur l'analyse des mouvements communs aux différents prix ; il prend en compte la dynamique particulière de ces séries, notamment la présence de pics importants. Notre analyse révèle la présence de tendances communes à certains prix, qui ne sont pas expliquées par l'influence des variables macroéconomiques.
(This abstract was borrowed from another version of this item.)
When requesting a correction, please mention this item's handle: RePEc:cai:reofsp:reof_p1991_37n1_0123. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Jean-Baptiste de Vathaire)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.