Does the London Metal Exchange Follow a Random Walk? Evidence from the Predictability of Futures Prices

摘要: This paper analyses the validity of weak-form market efficiency, using random-walk hypothesis for six industrial base metals - copper, aluminium, zinc, nickel, tin and lead traded at London Metal Exchange. I analyse behaviour daily weekly prices rolling three-month futures contracts, as these contracts exhibit highest level trading activity. In contrast to other efficient-market studies, efficiency is not tested an unbiased predictor spot but from predictability themselves. focus on post-Tin Crisis period 1989 2007. My test methodology includes Box & Pierce Q-statistics, variance ratio tests by Lo MacKinlay with homoscedastic heteroscedastic estimates, nonparametric ranks- signs-based Wright wild bootstrapping Kim. sample basis fails reject all metal except lead.