Abstract
ABSTRACTRecent evidence from cointegration theory points towards the efficiency of the London Metal Exchange. We show that on theoretical grounds this evidence could be misleading. We also conduct multivariate and univariate unit roots tests on prices of three different metals, namely: copper, lead and zinc. The price data are seasonal and unadjusted quarterly data from the London Metal Exchange and they cover the period from 1972.1–1987.4. The evidence presented here supports the presence of common stochastic trends in metal price movements.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
