IJPAM: Volume 97, No. 4 (2014)


C. Muñóz Ibáñez$^1$, G. Pérez Lechuga$^2$, F. Venegas Martınez$^{3}$
$^1$Universidad Autónoma del Estado de Hidalgo
$^2$Universidad Autónoma del Estado de Hidalgo
Escuela Superior de Apan, MÉXICO
$^3$Instituto Politécnico Nacional
Escuela Superior de Economıa, MÉXICO

Abstract. An efficient market is one where prices of traded securities reflect all available information and adjust fully and quickly to new information. When one market is efficient changes in stock prices are unpredictable and therefore behave as a random walk.

Our aim to test the efficiency of the international metals market by analyzing their behavior in the London Metal Exchange or LME for its acronym in English, and PLATTS developed by Mc Graw Hill Company. Both indicators are the primary benchmark to determine the base price for metal parts (aluminum) in the automotive industry.

To do this, we take a monthly publication from January 2009 until August 2013, of the metal prices reported in PLATTS and LME. Various statistical tests were applied to determine the stationarity of the sample generated, such as the Autocorrelation Function, the Ljung-Box Test, the Unit Root Test, the Dickey-Fuller Test and the Augmented Dickey-Fuller Test. We concluded that the analyzed series are non-stationary for the case studied, showing a strong statistical evidence that, the international market of the aluminum is efficient and follows a random walk.

Received: July 6, 2014

AMS Subject Classification: 90A, 90B

Key Words and Phrases: efficient markets, random walk, stationary series, statistics test, autocorrelation function

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DOI: 10.12732/ijpam.v97i4.9 How to cite this paper?

International Journal of Pure and Applied Mathematics
ISSN printed version: 1311-8080
ISSN on-line version: 1314-3395
Year: 2014
Volume: 97
Issue: 4
Pages: 497 - 510

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CC BY This work is licensed under the Creative Commons Attribution International License (CC BY).