Testing Efficiency of the London Metal Exchange: New Evidence
Jaehwan Park; Byungkwon Lim · 2018 · International Journal of Financial Studies
WASTE classifies this as Negative / Null Result Report · AI classification, approximate
The study found no significant effect — useful as a negative control or null benchmark for your own design.
Abstract
This paper explores the market efficiency of the six base metals traded on the LME (London Metal Exchange) using daily data from January 2000 to June 2016. The hypothesis that futures prices 3M (3-month) are unbiased predictors of spot prices (cash) in the LME is rejected based on the false premise that the financialization of commodities has been growing. For the robustness check, monthly data is analyzed using ordinary least squares (OLS) and GARCH (1,1) models. We reject the null hypothesis for all metals except for zinc.
Abstract by Jaehwan Park; Byungkwon Lim, International Journal of Financial Studies (2018) — licensed CC BY 4.0.
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Metadata source: OpenAlex · DOI 10.3390/ijfs6010032