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Testing Efficiency of the London Metal Exchange: New Evidence

1
Commodity Research Center, Public Procurement Service, Daejeon 35208, Korea
2
Housing Finance Research Institute, Korea Housing Finance Corporation, Busan 48400, Korea
*
Author to whom correspondence should be addressed.
Int. J. Financial Stud. 2018, 6(1), 32; https://doi.org/10.3390/ijfs6010032
Received: 26 December 2017 / Revised: 27 February 2018 / Accepted: 12 March 2018 / Published: 14 March 2018
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. View Full-Text
Keywords: market efficiency; London Metal Exchange; unbiased estimators; financialization market efficiency; London Metal Exchange; unbiased estimators; financialization
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Park, J.; Lim, B. Testing Efficiency of the London Metal Exchange: New Evidence. Int. J. Financial Stud. 2018, 6, 32.

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