¿Es El Mercado De Metales Eficiente? (Is the Metals Market Efficient?)

31 Pages Posted: 24 Apr 2017

See all articles by Diana Osorio

Diana Osorio

Independent

Girón Luis Eduardo

Pontifical University Javeriana Cali

Lya Sierra

Pontificia Universidad Javeriana Cali

Date Written: April 10, 2017

Abstract

Spanish Abstract: La predicción de los precios de las materias primas es importante por su impacto a nivel macroeconómico en las naciones que dependen de su comercio internacional, así mismo tiene importancia financiera para quienes negocian sus futuros en bolsa. Este trabajo propone evaluar la hipótesis de eficiencia en el sentido débil en el mercado de metales, la cual argumenta que un mercado eficiente no es susceptible de predicción de precios. Para este propósito se implementaron métodos de caminata aleatoria. Se encontraron materias primas persistentemente ineficientes durante el periodo de evaluación de 1992 a 2015, así como que algunas materias primas fluctúan entre periodos de eficiencia y no eficiencia.

English Abstract: The prediction of raw material prices is important due to its macroeconomic impact in the nations that depend on their international trade, it is as well financially important to those who negotiate futures in the stock market. This work proposes to evaluate the efficiency hypothesis in the weak sense of the metals market, which argues that an efficient market is not susceptible to price prediction. To carry out this purpose, methods of random walks were put into effect. Persistently inefficient raw materials during the evaluation period from 1992 to 2015 were found, as well as that some raw materials fluctuate between periods of efficiency and inefficiency.

Note: Downloadable document is available in Spanish.

Keywords: Market efficiency, prices of raw materials, variance ratio, Portmanteau statistics. Palabras clave: Eficiencia de mercado, precios de materias primas, razón de varianzas, estadísticos de Portmanteau

JEL Classification: C12, C16, E39, F00, G14, Q02

Suggested Citation

Osorio, Diana and Giron, Luis and Sierra, Lya, ¿Es El Mercado De Metales Eficiente? (Is the Metals Market Efficient?) (April 10, 2017). Available at SSRN: https://ssrn.com/abstract=2956657 or http://dx.doi.org/10.2139/ssrn.2956657

Luis Giron

Pontifical University Javeriana Cali ( email )

Calle 18 No. 118-250 Cali, Colombia
Cali, Valle del Cauca
Colombia
(+57-2) 321-82-00 (Phone)

HOME PAGE: http://www.javerianacali.edu.co/

Lya Sierra

Pontificia Universidad Javeriana Cali ( email )

Calle 18 # 118-250
Cali, CO Valle del Cauca
Colombia

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
39
Abstract Views
480
PlumX Metrics