The short- and long-run efficiency of energy, precious metals, and base metals markets: Evidence from the exponential smooth transition autoregressive models

ÇAĞLI E. Ç., Taskin D., EVRİM MANDACI P.

ENERGY ECONOMICS, vol.84, 2019 (SSCI) identifier identifier

  • Publication Type: Article / Article
  • Volume: 84
  • Publication Date: 2019
  • Doi Number: 10.1016/j.eneco.2019.104540
  • Journal Name: ENERGY ECONOMICS
  • Journal Indexes: Social Sciences Citation Index (SSCI), Scopus
  • Keywords: Market efficiency, Energy, Precious metals, Base metals, Nonlinear cointegration, Nonparametric granger causality, CRUDE-OIL, COMMODITY FUTURES, GRANGER CAUSALITY, PRICES-EVIDENCE, SPOT, GOLD, COINTEGRATION, VOLATILITY, ASYMMETRY, MOVEMENTS
  • Dokuz Eylül University Affiliated: Yes

Abstract

The aim of this paper is to investigate the long and short-run relationship between spot and futures prices of the energy, precious metals, and base metals markets. We analyze daily data from January 1985 to February 2019. The empirical findings based on the cointegration test, which follows a nonlinear process, suggest that the spot prices of energy and metals assets have long-run relationships with their futures prices. Nonparametric Granger causality test results also indicate bi-directional causality among futures and spot prices. These findings indicate that the energy and metals markets are informationally efficient in the sense of Fama (1970). (C) 2019 Elsevier B.V. All rights reserved.