A Speculative Efficiency Analysis of the London Metal Exchange in a Multi-Contract Framework
Sascha Otto · 2011 · International Journal of Economics and Finance
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The study found no significant effect — useful as a negative control or null benchmark for your own design.
Abstract
We analyze the speculative efficiency of the six base metals traded at the London Metal Exchange (LME) for the post-Tin Crisis period from 1991-2008. Especially the influence of different futures contracts on the one side and different underlyings on the other side provides economic insights for market participants like hedgers and speculators. We focus on the 3-month and 15-month futures contracts for all six base metals and conduct single-contract test for every base metal applying an ARMA process. This system is expanded to the multi-contract case, modeling the forecast error as an ARMAX pr
Abstract by Sascha Otto, International Journal of Economics and Finance (2011) — licensed CC BY 4.0.
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Metadata source: OpenAlex · DOI 10.5539/ijef.v3n1p3