Market Efficiency of Nonferrous Metal Market

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2010 Vol.47, Issue 4 Preview Page Next Page

Market Efficiency of Nonferrous Metal Market 비철금속 시장의 효율성 검정 연구: 오선아, 이슬기
Sunah Oh and Sul-Ki Yi

31 August 2010. pp. 433-439

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Abstract

Due to their broad uses in industry as raw materials, stable supply of nonferrous metals is important. It is necessary to check the efficiency of those markets since stable supply can be achieved only in the efficient market. In the light of the efficient market hypothesis, the market efficiency of nonferrous metals was thus investigated through cointegration and causality analysis. The spot prices of copper, lead, zinc, nickel, aluminum and tin over the period January 1990 to December 2009 were analyzed to investigate the efficiency. As results, we could find out the long-run equilibrium and at least one causal relationship among metals prices. In addition, tin prices were cointegrated with all other prices and copper prices were caused by all other metals prices, and consequently inefficiency of tin market in the long-run and copper market in the short-run was observed. In conclusion, since the possibility that nonferrous markets act inefficiently is higher than before, more efforts to gather the information on those markets for trading and investment are needed

Keywords

Nonferrous Metal Market

Market Efficiency

Cointegration

Causality

비철금속은 국가 기간산업에서 IT산업에 이르기까지 폭넓게 사용되는 원자재로서 안정적인 공급이 필수적이다. 이를 위해서는 가격의 예측이 필요하므로 시장의 효율성을 살펴볼 필요가 있다. 이에 본 연구에서는 공적분 모형과 인과관계 모형을 이용하여 국제 비철금속 시장의 효율성을 검정하였다. 1990년부터 2009년까지의 구리, 납, 아연, 니켈, 알루미늄, 주석의 월별 국제 가격에 대하여 분석한 결과 모든 금속의 가격이 다른 금속의 가격과 공적분이 성립하며 인과관계를 나타내고 있어 최근의 비철금속 시장은 비효율적 시장임을 확인하였다. 특히 주석의 가격은 모든 금속의 가격과 각각 공적분이 성립하였으며, 구리 가격의 변동량은 모든 금속 가격의 변동량에 영향을 받는 것으로 나타나 장기적으로는 주석 시장이, 단기적으로는 구리 시장이 상대적으로 더 비효율적인 시장으로 추정되었다. 이러한 결과는 비철금속 시장의 가격이 과거에 비하여 다른 비철금속 시장 가격에 영향을 많이 받고 있어 시장 비효율성이 발생할 가능성이 높기 때문에 향후 투자와 거래에 있어서 정보 교환에 많은 노력이 필요함을 의미한다.

키워드

비철금속 시장

시장효율성

공적분모형

인과관계 모형

References

Chowdhury, A.R., 1991, “utures markets efficiency: evidence from cointegration tests,”Journal of Futures Markets, Vol. 11, No. 5, pp. 577-589.
Dickey, D.A. and Fuller, W.A., 1981, “ikelihood Ratio Statistics for Autoregressive Time Series with a Unit Root,”Econometrica, Vol. 49, No. 4, pp. 1057-1072.
Fama, E.F., 1965, “andom Walks in Stock Market Prices,” Financial Analysts Journal, September/October.
Goss, B.A., 1983, “he semi-strong form efficiency of the London Metal Exchange,”Applied Economics, Vol. 13, No. 5, pp. 133-150.
Jones, J.D. Jones and Uri, N.D., 1990, “arket efficiency, spot metals prices and cointegration: Evidence for the USA, 1964-1987,”Resources Policy, Vol. 16, No. 4, pp. 261-268.
Kenourgios, D. and Samitas, A., 2004, “esting Efficiency of the copper Future Market: New Evidence from London Metal Exchange,”Global Business and Economic Review, Anthology, pp. 261-271.
MacDonald, R. and Taylor, M., 1988, “etals prices, efficiency and cointegration: some evidence from the london metal exchange,”Bulletin of Economic Research, Vol. 40, No. 3, pp. 235-240.
Phillips, P. and Perron, P., 1988, “esting for a Unit Root in Time Series Regression,”Biometrica, Vol. 75, No. 2, pp. 335-346.

Information

Publisher :The Korean Society of Mineral and Energy Resources Engineers
Publisher(Ko) :한국자원공학회
Journal Title :Journal of the Korean Society for Geosystem Engineering
Journal Title(Ko) :한국지구시스템공학회지
Volume : 47
No :4
Pages :433-439

[1] Chowdhury, A.R., 1991, “utures markets efficiency: evidence from cointegration tests,”Journal of Futures Markets, Vol. 11, No. 5, pp. 577-589.

[2] Dickey, D.A. and Fuller, W.A., 1981, “ikelihood Ratio Statistics for Autoregressive Time Series with a Unit Root,”Econometrica, Vol. 49, No. 4, pp. 1057-1072.

[3] Fama, E.F., 1965, “andom Walks in Stock Market Prices,” Financial Analysts Journal, September/October.

[4] Goss, B.A., 1983, “he semi-strong form efficiency of the London Metal Exchange,”Applied Economics, Vol. 13, No. 5, pp. 133-150.

[5] Jones, J.D. Jones and Uri, N.D., 1990, “arket efficiency, spot metals prices and cointegration: Evidence for the USA, 1964-1987,”Resources Policy, Vol. 16, No. 4, pp. 261-268.

[6] Kenourgios, D. and Samitas, A., 2004, “esting Efficiency of the copper Future Market: New Evidence from London Metal Exchange,”Global Business and Economic Review, Anthology, pp. 261-271.

[7] MacDonald, R. and Taylor, M., 1988, “etals prices, efficiency and cointegration: some evidence from the london metal exchange,”Bulletin of Economic Research, Vol. 40, No. 3, pp. 235-240.

[8] Phillips, P. and Perron, P., 1988, “esting for a Unit Root in Time Series Regression,”Biometrica, Vol. 75, No. 2, pp. 335-346.

Journal of the Korean Society of Mineral and Energy Resources Engineers ISSN:2288-0291(Print) 2288-2790(Online) 한국자원공학회지

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