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

Lya Paola SİERRA; Luis Eduardo GİRÓN; Carolina OSORİO

Article Details

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

Authors:

Lya Paola SİERRA | Luis Eduardo GİRÓN | Carolina OSORİO

Publisher:

İlhan ÖZTÜRK

Journal:

International Journal of Economics and Financial Issues 2017 Vol.7 Issue 4, pp.15-22

Document Type:

Article

Publication Date:

11/2017

Document Language:

Turkish

Document ID (Org No.):

2000811364

Frequency:

Bimonthly

eISSN:

2146-4138

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.

Article Details

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

Authors: Lya Paola SİERRA | Luis Eduardo GİRÓN | Carolina OSORİO

Publisher: İlhan ÖZTÜRK

Journal: International Journal of Economics and Financial Issues 2017 Vol.7 Issue 4, pp.15-22

Document Type: Article

Publication Date: 11/2017

Document Language: Turkish

Document ID (Org No.): 2000811364

Frequency: Bimonthly

eISSN: 2146-4138

Issues

Authors:

Lya Paola SİERRA | Luis Eduardo GİRÓN | Carolina OSORİO

Publisher:

İlhan ÖZTÜRK

Journal:

International Journal of Economics and Financial Issues 2017 Vol.7 Issue 4, pp.15-22

Document Type:

Article

Publication Date:

11/2017

Document Language:

Turkish

Document ID (Org No.):

2000811364

Frequency:

Bimonthly

eISSN:

2146-4138